Results 21 to 30 of about 122 (117)
Dependence Modeling, 2016 We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of ...
Deschatre Thomas
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Capturing the extremes: a quasi-comonotonicity-based algorithm for disaggregating daily to hourly rainfall [PDF]
Hydrology and Earth System SciencesDisaggregating daily precipitation data into hourly time scales is crucial for hydrological modelling, urban drainage design, and extreme rainfall risk assessment.
C. Correa +3 more
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Are law-invariant risk functions concave on distributions?
Dependence Modeling, 2013 While it is reasonable to assume that convex combinations on the level of random variables lead to a reduction of risk (diversification effect), this is no more true on the level of distributions.
Acciaio Beatrice, Svindland Gregor
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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
PhotonicsIn infrared radiation calculations, the k-distribution method effectively improves the computational efficiency of solving the radiative transfer equation for uniform paths and achieves accuracy comparable to the line-by-line method.
Jianing Fu +3 more
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Mathematical Finance, Volume 36, Issue 3, Page 595-619, July 2026.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
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Persisting Disadvantages: A Study of the Dynamics of Cumulative Deprivation
Review of Income and Wealth, Volume 72, Issue 2, May 2026.ABSTRACT Identifying populations at risk of deprivation is crucial for effective policy design. Yet, much existing research focuses on single aspects, such as income or material deprivation, and often abstracts from deprivation dynamics. This study addresses this gap by analyzing the dynamics and socio‐economic gradient of cumulative deprivation using ...
Santiago Budría +1 more
wiley +1 more source
Comonotone Jackson's Inequality
Journal of Approximation Theory, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Beyond Averages: Inequality‐Sensitive Welfare Comparisons Across the Atlantic
Review of Income and Wealth, Volume 72, Issue 2, May 2026.ABSTRACT Prior studies assessing welfare across countries have utilized measures that combine country‐level outcomes in income and life expectancy. However, this perspective remains blind to the fact that two countries may have the same life expectancy and/or average income but very different underlying distributions.
Shaun Da Costa
wiley +1 more source