Results 61 to 70 of about 573 (73)

Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters [PDF]

We study a test statistic on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density.
Olivier Scaillet
core  

On the Pricing and Hedging of Long Dated Zero Coupon Bonds [PDF]

The pricing and hedging of long dated derivative contracts is a challenging area of research. As a result of utility indifference pricing for general payoffs the growth optimal portfolio turns out to be the appropriate numeraire or benchmark with the ...
Eckhard Platen
core  

Threshold selection and trimming in extremes. [PDF]

Extremes (Boston), 2020
Bladt M, Albrecher H, Beirlant J.
europepmc   +1 more source

Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns. [PDF]

J Inequal Appl, 2018
Dong Y, Wang D.
europepmc   +1 more source

Web renewal counting processes and their applications in insurance. [PDF]

J Inequal Appl, 2018
Li R, Bi X, Zhang S.
europepmc   +1 more source

Testing nonlinearity of heavy-tailed time series. [PDF]

J Appl Stat
De Gooijer JG.
europepmc   +1 more source

Estimating changepoints in extremal dependence, applied to aviation stock prices during COVID-19 pandemic. [PDF]

J Appl Stat
Hazra A, Bose S.
europepmc   +1 more source

A size-of-loss model for the negatively skewed insurance claims data: applications, risk analysis using different methods and statistical forecasting. [PDF]

J Appl Stat
Mohamed HS, Cordeiro GM, Minkah R, Yousof HM, Ibrahim M.   +4 more
europepmc   +1 more source

High level quantile approximations of sums of risks

Dependence Modeling, 2015
Cuberos A., Masiello E., Maume-Deschamps V.   +2 more
doaj   +1 more source

Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses. [PDF]

Extremes (Boston)
Koch E.
europepmc   +1 more source