The ability to adequately model risks is crucial for insurance companies. The method of "Copula-based hierarchical risk …

vector based on weighted Cramér-von Mises functionals of the empirical copula process. The weights act as a tuning parameter …. The greatest gain in power is found to occur when weights are set proportional to true deviations from independence copula …

copula-based approach for modeling correlated continuous uncertainties to the representation of correlated discrete …

Although copula modeling has been applied in a growing number of financial applications, high-dimensional copula … modeling is still in its early stages. Vine copula modeling not only has the advantage of extending to higher dimensions easily … estimation of the dependence structures through vine copula modeling, we empirically investigate systemic risk in 10 S&P 500 …

In this paper we present a forecasting method for time series using copula-based models for multivariate time series …

Clayton canonical vine copula (CVC) to model asymmetric dependence, we produce a measure of systemic risk across a portfolio …

We construct a copula from the skew t distribution of Sahu, Dey & Branco (2003). This copula can capture asymmetric and … effectively. However, it is difficult to estimate the copula model by maximum likelihood when the multivariate dimension is high … distributions and copula are estimated jointly. We therefore propose a Bayesian approach that overcomes all these problems. The …