Dependence Modeling, 2019 The relationship between the European stock market and the crude oil depends on the significance of the different industries in the European economy. The literature points to a structural change after the 2008 crisis without getting into details of which
Ferreiro Javier Ojea
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Another approach to the evaluation of a certain multivariate compound distribution
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2016 In this work, we consider the multivariate aggregate model introduced in [11], model that takes into account the case when different types of claims affect in the same time an insurance portfolio under some specific assumptions related to the number of ...
Robe-Voinea Elena-Gratiela +1 more
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VaR bounds in models with partial dependence information on subgroups
Dependence Modeling, 2017 We derive improved estimates for the model risk of risk portfolios when additional to the marginals some partial dependence information is available.We consider models which are split into k subgroups and consider various classes of dependence ...
Rüschendorf Ludger, Witting Julian
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Risk bounds with additional information on functionals of the risk vector
Dependence Modeling, 2018 We consider the problem of determining risk bounds for the Value at Risk for risk vectors X where besides the marginal distributions also information on the distribution or on the expectation of some functionals Tj(X), 1 ≤ j ≤ m, is available.
Rüschendorf L.
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Generalized Hoeffding-Fréchet functionals and mass transportation
Dependence ModelingThis note is concerned with some historical remarks on and a partial review of two interesting mathematical subjects, the generalized Hoeffding-Fréchet functionals and the Monge-Kantorovich mass transportation problem.
Rüschendorf Ludger
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Some properties of stop-loss moments under biased sampling. [PDF]
J Appl Stat, 2023 Vipin N, Ghosh I, Sunoj SM.
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Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]
Entropy (Basel), 2023 Guan L, Wang X.
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Possible favorable lifestyle changes owing to the coronavirus disease 2019 (COVID-19) pandemic among middle-aged Japanese women: An ancillary survey of the TRF-Japan study using the original "Taberhythm" smartphone app. [PDF]
PLoS One, 2021 Azuma K +6 more
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Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process. [PDF]
J Inequal Appl, 2017 Zhang S, Wang D, Yu S.
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A genome-wide analysis of simple sequence repeats in maize and the development of polymorphism markers from next-generation sequence data. [PDF]
BMC Res Notes, 2013 Qu J, Liu J.
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