Results 41 to 50 of about 4,366 (211)
BarekengFluctuations in exchange rates and foreign stock indices strongly influence domestic stock performance, particularly in the banking sector, which is highly sensitive to global economic dynamics.
Alfi Khairiati +2 more
doaj +1 more source
Asymptotic independence in more than two dimensions and its implications on risk management
Canadian Journal of Statistics, EarlyView.Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley +1 more source
Risk Times in Mission‐Oriented Systems
Quality and Reliability Engineering International, EarlyView.ABSTRACT This article assesses risk times in mission‐oriented systems with high safety standards. We examine critical times under two safety policies. The first requires that the system's reliability function, known the first failure of the components, must exceed a reliability level throughout the mission.
Antonio Arriaza +2 more
wiley +1 more source
Characterizations of Archimedean n-copulas [PDF]
Kybernetika, 2015 Summary: We present three characterizations of \(n\)-dimensional Archimedean copulas: algebraic, differential and diagonal. The first is due to Jouini and Clemen. We formulate it in a more general form, in terms of an \(n\)-variable operation derived from a binary operation.
openaire +2 more sources
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
Dependence Modeling, 2019 Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case.
Mai Jan-Frederik
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McDowell and Sellars on Objective Purport
European Journal of Philosophy, EarlyView.Abstract John McDowell has criticized Wilfrid Sellars on several occasions and over a number of years for his ‘non‐relational’ account of intentionality. This account is, according to McDowell, at least partly responsible for a ‘blind spot’ in Sellars's thinking: Sellars, allegedly, fails to see how objects or states of affairs in the external world ...
Stefan Brandt
wiley +1 more source
Hierarchical Archimedean Copulae: The HAC Package [PDF]
Journal of Statistical Software, 2014 This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient estimation procedures allow to recover the structure and the parameters of HAC from data. In addition, arbitrary HAC can be constructed to sample random vectors and to compute the values of the ...
Ostap Okhrin, Alexander Ristig
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Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, EarlyView.ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley +1 more source
Market Insurance and Risk Pooling in U.S. Crop Insurance
Agricultural Economics, Volume 57, Issue 2, March 2026.ABSTRACT A common assumption is that multiple‐peril crop insurance markets suffer from market failures, thus justifying government intervention in the form of premium subsidies, operating allowances, and reinsurance agreements. One prominent rationale for intervention involves geographic correlation in agricultural production which leads to systemic ...
Fan Fan +3 more
wiley +1 more source
Modelling cascading effects for systemic risk: Properties of the Freund copula
Dependence Modeling, 2019 We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents.
Guzmics Sándor, Pflug Georg Ch.
doaj +1 more source