Results 101 to 110 of about 4,073 (193)
Multivariate Copula Models at Work: Outperforming the desert island copula? [PDF]
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is ...
Fischer, Matthias J. +3 more
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Hierarchical Archimedean Copulae
, 2012 This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to recover the structure and the parameters of HACs from data.
Okhrin, Ostap, Ristig, Alexander
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Copulas in finance and insurance [PDF]
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used
Elisa M. Molanes, Rosario Romera
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Systemic Weather Risk and Crop Insurance: The Case of China [PDF]
The supply of affordable crop insurance is hampered by the existence of systemic weather risk which results in large risk premiums. In this article, we assess the systemic nature of weather risk for 17 agricultural production regions in China and explore
Ji Cao +3 more
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Dependence structures in financial time series: a chaos-theoretic approach [PDF]
Of much interest in financial econometrics is the recovery of joint distributional behaviour of collections of contemporaneous financial time series, e.g., two related commodity price series, or two asset returns series.
Rodney C Wolff
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Copula estimation for nonsynchronous financial data
, 2020 Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data.
Chakrabarti, Arnab, Sen, Rituparna
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Copula-Based Risk Aggregation and the Significance of Reinsurance
RisksInsurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries.
Alexandra Dias +2 more
doaj +1 more source
Gordon and Newell queueing networks and copulas [PDF]
In this paper we have found an analytical formula for a copula that connects the numbers Ni of customers in the nodes of a Gordon and Newell queueing network.
Ciuiu, Daniel
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Performance Analysis of RIS-Assisted Communication With Direct Link: A New Copula Application
IEEE Open Journal of the Communications SocietyReconfigurable intelligent surface (RIS) has received remarkable attention as a promising solution to enhance the capacity and coverage of wireless cellular networks. In this paper, we evaluate the performance of RIS-assisted communication systems in the
Damoon Shahbaztabar +3 more
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On the Distortion of a Copula and its Margins [PDF]
This article examines the notion of distortion of copulas, a natural extension of distortion within the univariate framework. We study three approaches to this extension: (1) distortion of the margins alone while keeping the original copula structure, (2)
Valdez, Emiliano A.
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