Results 51 to 60 of about 4,073 (193)
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
Dependence Modeling, 2018 The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the ...
Cooray Kahadawala
doaj +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
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International Transactions on Electrical Energy Systems, Volume 2026, Issue 1, 2026.In order to accurately evaluate and tap the mutual‐aid capacity potential of interconnected power stations under the scenario of peak‐to‐peak compensation between new energy output and load demand, this paper uses Copula function to describe the correlation structure of wind, light, and load from the perspective of source–load matching, quantify the ...
Chao Ding +6 more
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ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA
E-Jurnal Matematika, 2017 Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family.
AULIA ATIKA PRAWIBTA SUHARTO +2 more
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A Collection of New Trigonometric- and Hyperbolic-FGM-Type Copulas
AppliedMath, 2023 Copula analysis was created to explain the dependence of two or more quantitative variables. Due to the need for in-depth data analysis involving complex variable relationships, there is always a need for new copula models with original features.
Christophe Chesneau
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Structural Control and Health Monitoring, Volume 2026, Issue 1, 2026.The evolution pattern of dam deformation reflects its structural response and operational state. Analyzing this pattern enables effective identification of the probability of deformation anomalies. Deviation reflects the extent to which dam deformation deviates from its expected evolution pattern and serves as an important basis for identifying ...
Xudong Chen +8 more
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Theoretical Validation of New Two-Dimensional One-Variable-Power Copulas
Axioms, 2023 One of the most effective ways to illustrate the relationship between two quantitative variables is to describe the corresponding two-dimensional copula.
Christophe Chesneau
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Copula‐Based Deep Learning Models for Competing Risks
Statistical Analysis and Data Mining: An ASA Data Science Journal, Volume 18, Issue 6, December 2025.ABSTRACT This study introduces a novel approach to modeling competing risks in survival analysis by integrating learnable Copula functions (Clayton, Frank, and Gaussian) with deep learning architectures, including Convolutional Neural Networks (CNN), Long Short‐Term Memory (LSTM) networks, and a hybrid CNN‐LSTM model.
Jong‐Min Kim, Jihoon Kim, Il Do Ha
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Probabilistic modelling of the dependence between rainfed crops and drought hazard [PDF]
Natural Hazards and Earth System Sciences, 2019 Extreme weather events, such as droughts, have been increasingly affecting the agricultural sector, causing several socio-economic consequences. The growing economy requires improved assessments of drought-related impacts in agriculture, particularly ...
A. F. S. Ribeiro +5 more
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