Similar Search Results

On some properties of two vector-valued VAR and CTE multivariate risk measures for Archimedean copulas

Hürlimann, Werner - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 613-633

Persistent link: https://www.econbiz.de/10010407943

A new bivariate Archimedean copula with application to the evaluation of VaR

Guloksuz, Cigdem Topcu; Kumar, Pranesh - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 2, pp. 273-285

Persistent link: https://www.econbiz.de/10013334726

Dependence structure between sukuk (Islamic bonds) and stock market conditions : an empirical analysis with Archimedean copulas

Naifar, Nader; Hammoudeh, Shawkat; Al dohaiman, Mohamed S. - In: Journal of international financial markets, … 44 (2016), pp. 148-165

Persistent link: https://www.econbiz.de/10011690405

Optimal capital allocations to interdependent actuarial risks

You, Yinping; Li, Xiaohu - In: Insurance / Mathematics & economics 57 (2014), pp. 104-113

Persistent link: https://www.econbiz.de/10010402711

Diversification in catastrophe insurance markets

Cui, Hengxin; Ken Seng Tan; Yang, Fan - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 753-778

Persistent link: https://www.econbiz.de/10012656726

Tail negative dependence and its applications for aggregate loss modeling

Hua, Lei - In: Insurance / Mathematics & economics 61 (2015), pp. 135-145

Persistent link: https://www.econbiz.de/10010515904

Pricing hybrid-triggered catastrophe bonds based on copula-EVT model

Wei, Longfei; Liu, Lu; Hou, Jialong - In: Quantitative finance and economics 6 (2022) 2, pp. 223-243

Persistent link: https://www.econbiz.de/10013498934

A note on bivariate survival functions following a law of uniform seniority

Schimmele, Alexander; Schmidt, Klaus D. - In: Scandinavian actuarial journal 2023 (2023) 9, pp. 907-915

Persistent link: https://www.econbiz.de/10014384019

Relative ageing of series and parallel systems : effects of dependence and heterogeneity among components

Ding, Weiyong; Zhang, Yiying - In: Operations research letters 46 (2018) 2, pp. 219-224

Persistent link: https://www.econbiz.de/10011824889

New families of bivariate copulas via unit lomax distortion

Abdullah-A Aldhufairi, Fadal; Samanthi, Ranadeera G.M.; … - In: Risks : open access journal 8 (2020) 4/106, pp. 1-19

This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval. Existing copulas play the role of the base copulas that are distorted...

Persistent link: https://www.econbiz.de/10012384399