Search Results - subject:"dependence modeling"

DeepTVAR : deep learning for a time-varying VAR model with extension to integrated VAR

Li, Xixi; Yuan, Jingsong - In: International journal of forecasting 40 (2024) 3, pp. 1123-1133

Persistent link: https://www.econbiz.de/10014547261

Dependency modeling approach of cause-related mortality and longevity risks : HIV/AIDS

Bett, Nicholas; Kasozi, Juma; Ruturwa, Daniel - In: Risks : open access journal 11 (2023) 2, pp. 1-18

Disaggregation of mortality by cause has advanced the development of life tables for life insurance and pension purposes. However, the assumption that the causes of death are independent is a challenge in reality. Furthermore, models that determine relationships among causes of death such as...

Persistent link: https://www.econbiz.de/10014234458

Modeling bivariate dependency in insurance data via Copula: A brief study

Ghosh, Indranil; Watts, Dalton; Chakraborty, Subrata - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-20

Copulas are a quite flexible and useful tool for modeling the dependence structure between two or more variables or components of bivariate and multivariate vectors, in particular, to predict losses in insurance and finance. In this article, we use the VineCopula package in R to study the...

Persistent link: https://www.econbiz.de/10014332530

Modeling bivariate dependency in insurance data via Copula : a brief study

Ghosh, Indranil; Watts, Dalton; Chakraborty, Subrata - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-20

Persistent link: https://www.econbiz.de/10013375167

Evaluating the tail risk of multivariate aggregate losses

Jiang, Wenjun; Ren, Jiandong - In: ASTIN bulletin : the journal of the International … 52 (2022) 3, pp. 921-952

Persistent link: https://www.econbiz.de/10013426668

Tweedie multivariate semi-parametric credibility with the exchangeable correlation

Jeong, Himchan - In: Insurance : mathematics and economics 115 (2024), pp. 13-21

Persistent link: https://www.econbiz.de/10015066723

Vine copula approach to the intra-sectoral dependence analysis in the technology industry

Čeryová, Barbara; Árendáš, Peter - In: Finance research letters 60 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014490244

Maximum utility portfolio construction in the forward freight agreement markets : evidence from a multivariate skewed t copula

Gong, Yuting; Wang, Xueqin; Zhu, Mo; Ge, Ying-En; Shi, … - In: The journal of futures markets 43 (2023) 1, pp. 69-89

Persistent link: https://www.econbiz.de/10013465893

Dependence modeling for large-scale project cost and time risk assessment : additive risk factor approaches

Kim, Byung-Cheol - In: IEEE transactions on engineering management : EM 70 (2023) 2, pp. 417-436

Persistent link: https://www.econbiz.de/10014232092

Estimation and inference in factor copula models with exogenous covariates

Mayer, Alexander; Wied, Dominik - In: Journal of econometrics 235 (2023) 2, pp. 1500-1521

Persistent link: https://www.econbiz.de/10014471408