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Nonparametric tests for positive quadrant dependence

Denuit, Michel; Scaillet, Olivier - 2002

Persistent link: https://www.econbiz.de/10001687927

Nonparametric tests for positive quadrant dependence

Denuit, Michel (contributor); Scaillet, Olivier (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001701362

Theory

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655663

Applications

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655664

Nonparametric tests for positive quadrant dependence

Denuit, Michel; Scaillet, Olivier - In: Journal of financial econometrics : official journal of … 2 (2004) 3, pp. 422-450

Persistent link: https://www.econbiz.de/10002214466

Measuring Portfolio Risk Under Partial Dependence Information

Bernard, Carole - 2017

The bounds for risk measures of a portfolio when its components have known marginal distributions but the dependence among the risks is unknown are often too wide to be useful in practice. Moreover, availability of additional dependence information, such as knowledge of some higher-order...

Persistent link: https://www.econbiz.de/10012973435

Almost marginal conditional stochastic dominance

Denuit, Michel; Huang, Rachel J.; Tzeng, Larry Y.; … - In: Journal of banking & finance 41 (2014), pp. 57-66

Persistent link: https://www.econbiz.de/10010407994

Benchmark values for higher order coefficients of relative risk aversion

Denuit, Michel; Rey, Béatrice - In: Theory and decision : an international journal for … 76 (2014) 1, pp. 81-94

Persistent link: https://www.econbiz.de/10010345268

Correlation order, merging and diversification

Dhaene, Jan; Denuit, Michel; Vanduffel, Steven - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 325-332

Persistent link: https://www.econbiz.de/10009517561

Max-factor individual risk models with application to credit portfolios

Denuit, Michel; Kiriliouk, Anna; Segers, Johan - In: Insurance / Mathematics & economics 62 (2015), pp. 162-172

Persistent link: https://www.econbiz.de/10011312076