This paper introduces a copula based multivariate rank test for independence extending existing approaches from literature to p dimensions. Then, a multiparametric p-dimensional generalization of the FGM copula is provided that can model the behavior in each vertex of the p-dimensional unit cube...

In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each...

In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each...

This paper introduces a copula based multivariate rank test for independence extending existing approaches from literature to p dimensions. Then, a multiparametric p-dimensional generalization of the FGM copula is provided that can model the behavior in each vertex of the p-dimensional unit cube...

This paper constructs a robust optimization framework of the uncertain worst-case return. The model defines an adjustable discrete uncertainty set which controls the conservatism of the optimal asset allocation. Without prior assumptions on the data generating process, the model also develops an...