The objective of this paper is to assess the degree and the structure of price dependence between different coffee qualities of the Arabica and Robusta varieties. This is pursued using the statistical tool of copulas and monthly price data for the period 1990:1–2014:12. Our results reveal...

A standard quantitative method to access credit risk employs a factor model based on joint multi- variate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper proposes to incorporate a state-dependent recovery rate...

Cyber risk, a type of operational risk, is today considered a key component in the enterprise risk management framework. Under BASEL regulations, a bank could recognize the risk mitigating impact of the Cyber Liability Insurance (CLI) contract while calculating the minimum operational risk...

Low income households, especially in the developing countries could suffer losses due to weather related events such as drought, hurricanes, floods etc. Such losses could cast a household into a chronic poverty cycle - a poverty trap from which the household may find it difficult to re-emerge....

Several studies on heritability in twins aim at understanding the different contribution of environmental and genetic factors to specific traits. Considering the National Merit Twin Study, our purpose is to correctly analyse the influence of the socioeconomic status on the relationship between...

The objective of this study is to assess the degree and the structure of price dependence between different cuts of the beef industry in the USA. This is pursued using the statistical tool of copulas. To this end, it utilizes retail monthly data of beef cuts, within and between the quality...

Using copulas, we investigate the pairwise dependence structures between two risk factors, oil price and aggregate market index price, and the US oil and gas sub-sector indices. We also explore the out-of-sample hedging performance of a hedging strategy by minimizing the conditional...

Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of hierarchical Bayesian paid-incurred-claims models, combining the claims reserving...

An empirically founded and widely established driving force in opinion dynamics is homophily i.e. the tendency of "birds of a feather" to "flock together". The closer our opinions are the more likely it is that we will interact and converge. Models using these assumptions are called bounded...

Consider a random sample from a continuous multivariate distribution function F with copula C. In order to test the null hypothesis that C belongs to a certain parametric family, we construct an under H0 asymptotically distribution-free process that serves as a tests generator. The process is a...