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The method of moments for multivariate random sums

Javed, Farrukh; Loperfido, Nicola; Mazur, Stepan - 2024

Multivariate random sums appear in many scientific fields, most notably in actuarial science, where they model both the number of claims and their sizes. Unfortunately, they pose severe inferential problems. For example, their density function is analytically intractable, in the general case,...

Persistent link: https://www.econbiz.de/10014575595

Assessing public pensions using ruin probability : pay-as-you-go versus mixed schemes

Alonso-García, Jennifer; Boado-Penas, María del Carmen; … - 2024

Persistent link: https://www.econbiz.de/10014631072

VAR models with fat tails and dynamic asymmetry

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...

Persistent link: https://www.econbiz.de/10015084442

Modelling asymmetric dependence using copula functions : an application to value-at-risk in the energy sector

Bastianin, Andrea - 2009

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio … structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform …-of-sample. -- Copula functions ; Forecasting ; Value-At-Risk …

Persistent link: https://www.econbiz.de/10008810287

Objective Bayesian meta-analysis based on generalized multivariate random effects model

Bodnar, Olha; Bodnar, Taras - 2021

Persistent link: https://www.econbiz.de/10012604816

Generalized Weibull distributions

Sharma, Mansi; Stern, Steven - 2024

Persistent link: https://www.econbiz.de/10015163029

Matrix gamma distributions and related stochastic processes

Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022

There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, ∞). We provide an extension of this class to the case where the shape...

Persistent link: https://www.econbiz.de/10013469607

Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...

Persistent link: https://www.econbiz.de/10010339759

Risk measurement and risk modelling using applications of vine copulas

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2014

Persistent link: https://www.econbiz.de/10010410215

Log-concave probability distributions : theory and statistical testing

An, Mark Yuying - 1996

Persistent link: https://www.econbiz.de/10000937936