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Multivariate negative binomial models for insurance claim counts

Shi, Peng; Valdez, Emiliano - In: Insurance / Mathematics & economics 55 (2014), pp. 18-29

Persistent link: https://www.econbiz.de/10010366213

Validation of positive quadrant dependence

Ledwina, Teresa; Wyłupek, Grzegorz - In: Insurance / Mathematics & economics 56 (2014), pp. 38-47

Persistent link: https://www.econbiz.de/10010385038

Does fear spill over?

Chen, Cathy Yi-hsuan - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 465-491

Persistent link: https://www.econbiz.de/10010407449

Actuarial applications of multivariate two-part regression models

Frees, Edward W.; Jin, Xiaoli; Lin, Xiao - In: Annals of actuarial science : publ. by the Institute of … 7 (2013) 2, pp. 258-287

Persistent link: https://www.econbiz.de/10010188105

Commodity and equity markets : some stylized facts from a copula approach

Delatte, Anne-Laure; Lopez, Claude - In: Journal of banking & finance 37 (2013) 12, pp. 5346-5356

Persistent link: https://www.econbiz.de/10010343717

Market volatility and the dynamic hedging of multi-commodity price risk

Power, Gabriel J.; Vedenov, Dmitry V.; Anderson, David P.; … - In: Applied economics 45 (2013) 25/27, pp. 3891-3903

Persistent link: https://www.econbiz.de/10010345840

Asymmetric increasing trends in dependence in international equity markets

Okimoto, Tatsuyoshi - In: Journal of banking & finance 46 (2014), pp. 219-232

Persistent link: https://www.econbiz.de/10010467819

Price asymmetry between different pork cuts in the USA : a copula approach

Panagiotou, Dimitrios; Stavrakoudis, Athanassios - In: Agricultural and Food Economics : AFE 3 (2015), pp. 1-8

The objective of this study is to assess the degree and the structure of price dependence between different cuts in the US pork industry at the retail level. To this end, it utilizes monthly retail data of pork cuts and the statistical tool of copulas. The empirical results suggest that for all...

Persistent link: https://www.econbiz.de/10010511338

Synthetic CDO pricing : the perspective of risk integration

Hu, Conghui; Zhang, Xun; Gao, Qiuming - In: Applied economics 47 (2015) 13/15, pp. 1574-1587

Persistent link: https://www.econbiz.de/10010512015

Age-specific copula-AR-GARCH mortality models

Lin, Tzuling; Wang, Chou-Wen; Tsai, Cary Chi-Liang - In: Insurance / Mathematics & economics 61 (2015), pp. 110-124

Persistent link: https://www.econbiz.de/10010515911