Results 51 to 60 of about 4,426 (211)

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
doaj   +1 more source

Modelling stochastic bivariate mortality [PDF]

, 2006
Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk.
A J G Cairns, A K Manatunga, A Shemyakin, C Genest, C Genest, C Genest, D Duue, D Duue, D Duue, D F Schrager, D G Clayton, D Lando, D Lando, D M Dabrowska, D Oakes, D Oakes, E Biis, E Luciano, E W Frees, Elena Vigna, Elisa Luciano, H Youn, H Youn, J E Anderson, J F Carriere, J Spreeuw, Jaap Spreeuw, M A Milevsky, M Dahl, M Denuit, M Denuit, P Artzner, P Br Emaud, P Hougaard, R B Nelsen, U Cherubini, W Wang   +36 more
core   +1 more source

Tails of multivariate Archimedean copulas

Journal of Multivariate Analysis, 2009
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower ...
Charpentier, Arthur, Segers, Johan
openaire   +4 more sources

Nonparametric estimation of the tree structure of a nested Archimedean copula

, 2013
One of the features inherent in nested Archimedean copulas, also called hierarchical Archimedean copulas, is their rooted tree structure. A nonparametric, rank-based method to estimate this structure is presented.
Segers, Johan, Uyttendaele, Nathan
core   +1 more source

Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape

European Financial Management, EarlyView.
ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai, Manolis G. Kavussanos, Stergiani Moysiadou   +2 more
wiley   +1 more source

Goodness‐of‐Fit Tests for Positive Quadrant Dependence

International Statistical Review, EarlyView.
Summary When two random variables are positive quadrant dependent (PQD), they are more likely to assume small (or large) values simultaneously compared with when the random variables are independent. This dependence structure is of interest in many areas, including finance, actuarial science and engineering.
Chuan‐Fa Tang, Joshua M. Tebbs
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

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

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
openaire   +4 more sources

Assessing Basis Risk in Margin Insurance for Beef Cattle Farming in Brazil

Agricultural Economics, Volume 57, Issue 4, July 2026.
ABSTRACT Price volatility in agricultural markets directly affects the financial viability of rural producers, particularly in sectors characterized by narrow profit margins and long production cycles, such as beef cattle production. Futures contracts and agricultural insurance are commonly used to mitigate this risk; however, both instruments are ...
Beatriz Salandin Dal Pozzo, Vitor Augusto Ozaki   +1 more
wiley   +1 more source