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Conditional density forecast of China's energy demand via QRNN model

Cao, Shubo; Xu, Qifa; Jiang, Cuixia; He, Yaoyao - In: Applied economics letters 25 (2018) 12, pp. 867-875

Persistent link: https://www.econbiz.de/10012130465

Chapter 16. Copula Methods for Forecasting Multivariate Time Series

Patton, Andrew - 2013

to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to …

Persistent link: https://www.econbiz.de/10014025232

Rank-based multivariate Sarmanov for modeling dependence between loss reserves

Abdallah, Anas; Wang, Lan - In: Risks : open access journal 11 (2023) 11, pp. 1-37

the dependence between lines of business. An inadequate choice of the dependence structure may negatively impact the … robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital …

Persistent link: https://www.econbiz.de/10014435614

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...

Persistent link: https://www.econbiz.de/10013161689

Capital allocation based on the tail covariance premium adjusted

Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131

Persistent link: https://www.econbiz.de/10010402702

Explaining the failure to insure catastrophic risks

Kousky, Carolyn; Cooke, Roger M. - In: The Geneva papers on risk and insurance - issues and … 37 (2012) 2, pp. 206-227

Persistent link: https://www.econbiz.de/10009574607

The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

Sun, Ying; Wei, Li - In: Insurance / Mathematics & economics 59 (2014), pp. 178-183

Persistent link: https://www.econbiz.de/10010469138

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

A new extended mixture model of residual lifetime distributions

Kayid, Mohamed; Izadkhah, S. - In: Operations research letters 43 (2015) 2, pp. 183-188

Persistent link: https://www.econbiz.de/10010515780

Comparison of conditional distributions in portfolios of dependent risks

Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69

Persistent link: https://www.econbiz.de/10010515927