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~person:"Righi, Marcelo Brutti"
~person:"Shi, Peng"
~subject:"Multivariate distribution"
~type_genre:"Article in journal"
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Righi, Marcelo Brutti
Shi, Peng
Reboredo, Juan Carlos
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ECONIS (ZBW)
15
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
Knowledge learning of insurance risks using dependence models
Zhao, Zifeng
;
Shi, Peng
;
Feng, Xiaoping
- In:
INFORMS journal on computing : JOC
33
(
2021
)
3
,
pp. 1177-1196
Persistent link: https://www.econbiz.de/10012631667
Saved in:
3
Bonus-Malus premiums under the dependent frequency-severity modeling
Oh, Rosy
;
Shi, Peng
;
Ahn, Jae Youn
- In:
Scandinavian actuarial journal
2020
(
2020
)
3
,
pp. 172-195
Persistent link: https://www.econbiz.de/10012195040
Saved in:
4
A dependent frequency-severity approach to modeling longitudinal insurance claims
Lee, Gee
;
Shi, Peng
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 115-129
Persistent link: https://www.econbiz.de/10012058928
Saved in:
5
Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
Saved in:
6
Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti
;
Ceretta, Paulo Sergio
- In:
Revista Brasileira de Finanças : RBFin
10
(
2012
)
4
,
pp. 529-550
Persistent link: https://www.econbiz.de/10010412236
Saved in:
7
Pair copula constructions to determine the dependence structure of Treasury bond yields
Righi, Marcelo Brutti
;
Schlender, Sergio Guilherme
; …
- In:
IIMB management review
27
(
2015
)
4
,
pp. 216-227
Persistent link: https://www.econbiz.de/10011481216
Saved in:
8
Dependent frequency-severity modeling of insurance claims
Shi, Peng
;
Feng, Xiaoping
;
Ivantsova, Anastasia
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 417-428
Persistent link: https://www.econbiz.de/10011398126
Saved in:
9
A copula regression for modeling multivariate loss triangles and quantifying reserving variability
Shi, Peng
- In:
Astin bulletin : the journal of the International …
44
(
2014
)
1
,
pp. 85-102
Persistent link: https://www.econbiz.de/10010240678
Saved in:
10
Multivariate negative binomial models for insurance claim counts
Shi, Peng
;
Valdez, Emiliano
- In:
Insurance / Mathematics & economics
55
(
2014
),
pp. 18-29
Persistent link: https://www.econbiz.de/10010366213
Saved in:
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