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On multivariate extensions of the conditional value-at-risk measure

Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16

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On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189

Ranking the extreme claim amounts in dependent individual risk models

Torrado, Nuria; Navarro, Jorge - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 218-247

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Asymptotics of multivariate conditional risk measures for Gaussian risks

Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215

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Modeling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas

Braun, Valentin; Grizska, Martin - 2011

-week portfolio Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) predictions and the time-instability of financial market … effects when they are needed the most. Diversification among multiple asset classes significantly reduces the risk of …

Persistent link: https://www.econbiz.de/10014182746

Modelling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas

Braun, Valentin - 2016

We propose a multidimensional extension for Patton's (2006) bivariate Dynamic Copulas. We also introduce a Dynamic Mixture Copula whose parameters and weights follow well deﬁned dynamic processes. Both approaches are more ﬂexible to adapt to ﬁnancial data than currently available Copula...

Persistent link: https://www.econbiz.de/10012999941