Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...

The financial markets are highly influential and any change in the economy can be reflected in stock prices and thus have an impact on stock indices. The relationship between stock indices and the way they are affected by extreme phenomena is important for defining diversification strategies and...

COVID-19's effects on mortality are hard to quantify. Issues with attribution can cause problems with resulting conclusions. Analyzing excess mortality addresses this concern and allows for the analysis of broader effects of the pandemic. We propose separate ARIMA models to analyze excess...

This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...

The simulation of wind power, electricity load, and natural gas prices will allow commodity traders to see the future movement of prices in a more probabilistic manner. The ability to observe possible paths for wind power, electricity load, and natural gas prices enables traders to obtain...

This study develops an integrated risk modeling framework to assess capital adequacy and optimize portfolio performance for Thai life and non-life insurers. Leveraging ARMA-GJR-GARCH models with skewed Student-t innovations, extreme value theory, and dynamic R-vine copulas, the framework...

This paper investigates the dependence structure between returns and trading volumes for five major cryptocurrencies: Bitcoin, Cardano, Ethereum, Litecoin, and Ripple. Using a copula-based framework, we focus on a mixture of the Joe copula and its 90-degree rotation to capture asymmetric...

This study examines the dynamic correlations and hedge ratios of precious metal stock returns of the Johannesburg stock exchange in pre- and post-COVID scenarios to determine if they can be used to hedge against adverse market movements. The study uses daily return series of four gold stocks and...

This study investigates the Topological Tail Dependence (TTD) theory's applicability to individual stock volatility and high dimensions. Utilizing a comprehensive dataset from the S&P 100, the research employs various methodologies to test the predictions and implications of the TTD theory. The...

It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance...

Rainfall is an important source of covariate shock in developing countries. Insurance against a rainfall index has, therefore, held much promise as a formal insurance product to protect the livelihoods of poor farmers. But how good is rainfall as a measure of covariate shocks? The imperfect...

Accurate forecasting of solar PV generation is critical for integrating renewable energy into power systems. This paper presents a multivariate probabilistic forecasting model that addresses the challenges posed by imbalanced data resulting from day and night-time periods in solar photovoltaic...

We develop statistical methodology for the quantification of risk of source-destination pairs in an internet network. The methodology is developed within the framework of functional data analysis and copula modeling. It is summarized in the form of computational algorithms that use bidirectional...

In this paper, the copula theory is used to describe the dependence structure between variables, while the information theory provides the tools necessary to measure the uncertainty associated with these variables. What both theories have in common is copula entropy, which is strictly related to...