Results 31 to 40 of about 1,417 (201)
Copula-Based Risk Modeling: A Comparative Analysis of MCAViaR and Gaussian Copulas for Global Indices [PDF]
Mathematics and Modeling in FinanceThis study comparatively analyzes two advanced financial risk modeling frameworks: a copula-based Value-at-Risk (VaR) approach and the Multivariate Conditional Autoregressive Value-at-Risk (MCAViaR) model.
Mohammadreza Rostami +2 more
doaj +1 more source
A Python Package for Sampling from Copulae: clayton
, 2022 25 pages, 6 figures, 6 tables.
openaire +2 more sources
Mathematics, 2020 After defining a new log-logistic model and studying its properties, some new bivariate type versions using “Farlie-Gumbel-Morgenstern Copula”, “modified Farlie-Gumbel-Morgenstern Copula”, “Clayton Copula”, and “Renyi’s entropy Copula” are derived. Then,
Mahmoud M. Mansour +6 more
doaj +1 more source
Joint modeling of rainfall and temperature in Bahir Dar, Ethiopia: Application of copula
Frontiers in Applied Mathematics and Statistics, 2023 ObjectiveClimate change has effects on the economy development of any country. This paper aimed to fit the best marginal and joint distribution models of rainfall with minimum and maximum temperatures.MethodsThe average values of minimum and maximum ...
Haile Mekonnen Fenta +2 more
doaj +1 more source
Austrian Journal of Statistics, 2022 In medical studies, it is common the presence of a fraction of patients who do not experience the event of interest. These patients are people who are not at risk of the event or are patients who were cured during the research. The proportion of immune or cured patients is known in the literature as cure rate.
Marcos Peres +3 more
openaire +4 more sources
Copula families used in the mixture models in our framework. [PDF]
, 2022 Each panel shows a scatter plot of samples drawn from a parametric copula family (named in the title of each plot) with a fixed parameter θ (shown in the bottom right corner). In total, we used 10 different copula elements—Gaussian + Frank + 4 × Clayton +
Nathalie Rochefort (12015603) +4 more
core +1 more source
Copula-modellering för Portföljavkastningsanalys [PDF]
, 2023 In this thesis, we investigate the advantages of using high-dimensional copula modeling to understand the riskiness of portfolio investments and to more realistically estimate future portfolio values.
Gustafsson, Markus
core +2 more sources
Jurnal Matematika Integratif, 2020 Industri asuransi merupakan industri yang berkaitan langsung dengan risiko. Risiko yang terjadi diakibatkan oleh besar klaim yang harus dibayarkan perusahaan asuransi.
Dedy Irawan Prihandoko +1 more
doaj +1 more source
A new three parameter Fréchet model with mathematical properties and applications
Journal of Taibah University for Science, 2020 A new three-parameter extension of the Fréchet model is proposed and studied. Some of its statistical properties are derived. A simple type Copula-based construction via Morgenstern family and via Clayton copula is used to derive many bivariate and ...
Abdulhakim A. Al-Babtain +2 more
doaj +1 more source
Jurnal NaturalSmall area statistics are required when the sample size is small to produce estimates with adequate precision. The assumptions underlying Battese Harter Fuller (BHF) unit-level models may often be unrealistic in some applications.
NADIRA SRI BELINDA +2 more
doaj +1 more source