Results 61 to 70 of about 41,008 (203)
Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Oliver Grothe, Marius Hofert
openaire +2 more sources
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 +2 more
wiley +1 more source
On Truncation Invariant Copulas and their Estimation
Dependence Modeling, 2017 The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator
Jaworski Piotr
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A New Family of Archimedean Copulas: The Half-Logistic Family of Copulas
Mathematics, 2023 In this research, we introduce a truncation of the half-logistic distribution function as a multiplicative Archimedean generator. The corresponding Archimedean copula is obtained, namely the half-logistic family.
Abdulhamid A. Alzaid, Weaam M. Alhadlaq
doaj +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
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 +1 more
wiley +1 more source
Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.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
Hyperbolic and Trigonometric Generators of Archimedean Copulas: Characteristics and Performance [PDF]
Sahand Communications in Mathematical AnalysisIn this paper, hyperbolic and trigonometric functions, based on cosecant and cotangent as generator function for the family of Archimedean copula, are proposed. For these families, the dependence characteristics are compared.
Amirmasoud Kazemirad +3 more
doaj +1 more source
Water Resources Research, Volume 62, Issue 5, May 2026.Abstract Drought indices represent essential tools for monitoring and evaluating drought conditions and evolution. Univariate indices employ the Probability Integral Transform to map data onto the standard Gaussian domain. Extending such a Gaussian normalization procedure to multivariate settings requires the usage of the Kendall distribution function ...
Carlo De Michele +3 more
wiley +1 more source
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
doaj +1 more source