dependence structures. These limitations aggravate with increasing dimension. We study a hierarchical risk aggregation method … step in the hierarchy. Copulas and margins of arbitrary kind can be combined. We give an algorithm for numerical … approximation which introduces dependence between originally independent marginal samples through reordering. …

Measuring dynamic dependence between international financial markets has recently attracted great interest in financial … novel approach for measuring dependence dynamics. We include a hidden Markov chain (MC) in the equation describing … dependence dynamics, allowing the unobserved time-varying dependence parameter to vary according to both a restricted ARMA …

This paper illustrates the modeling of dependence structures of non-life insurance risks using the Bernstein copula. We … conduct a goodness-of-fit analysis and compare the Bernstein copula with other widely used copulas. Then, we illustrate the … Bernstein copula, including its flexibility in mapping inhomogeneous dependence structures and its easy use in a simulation …

claims and exchangeable dependent claims in each of the portfolios. Copulas are used to model the dependence situations …

large loss in the portfolio or, in the case of a portfolio with a positive dependence structure, to an unusually large loss … is considered alone. We also study, given two random vectors with a fixed dependence structure, the circumstances under …

–Pratt coefficient of absolute risk aversion) and the strength of dependence featured by the corresponding Archimedean copula. Some new … copula families are derived, and their properties are discussed. A numerical example about modeling dependence of coupled …

random pair (X,Y) with dependent components. When the product XY is heavy tailed, under a mild restriction on the dependence …

dependence structures between the summands. The obtained expression for the distribution of the sum features a separation … property into marginal and dependence structure contributions typical for copula approaches. Along the same lines we obtain the …