Zobrazeno 1 - 10 of 21 pro vyhledávání: '"60G70, 62P05"'
1
Report
Generalized Pareto Processes and Liquidity
Autor: Desmettre, Sascha, de Kock, Johan, Ruckdeschel, Peter, Seifried, Frank Thomas
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MA
Externí odkaz: http://arxiv.org/abs/1702.06993
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2
Report
Risk in a large claims insurance market with bipartite graph structure
Autor: Kley, Oliver, Kluppelberg, Claudia, Reinert, Gesine
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional Tail Expect
Externí odkaz: http://arxiv.org/abs/1410.8671
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3
Generalized Pareto Processes and Liquidity
Autor: Sascha Desmettre, Johan de Kock, Peter Ruckdeschel, Frank Thomas Seifried
Publikováno v: SSRN Electronic Journal.
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MA
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::73c3266a90417f4a1bac9cc0662701bb
https://doi.org/10.2139/ssrn.2922085
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4
Akademický článek
Invariant dependence structure under univariate truncation: the high-dimensional case.
Autor: Jaworski, Piotr1 (AUTHOR) P.Jaworski@mimuw.edu.pl
Publikováno v: Statistics. Oct2013, Vol. 47 Issue 5, p1064-1074. 11p.
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5
Akademický článek
Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory.
Autor: Gao, Qingwu, Liu, Xijun
Publikováno v: Journal of the Korean Statistical Society; Jun2020, Vol. 49 Issue 2, p596-624, 29p
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6
Akademický článek
Invariant dependence structure under univariate truncation.
Autor: Durante, Fabrizio1,2 (AUTHOR), Jaworski, Piotr3 (AUTHOR) P.Jaworski@mimuw.edu.pl
Publikováno v: Statistics. Apr2012, Vol. 46 Issue 2, p263-277. 15p.
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7
Akademický článek
A STUDY ABOUT ESTIMATION OF PARAMETERS FOR EXTREME VALUE DISTRIBUTION.
Autor: Proca, Alexandrina Maria1 alexproca@unitbv.ro
Publikováno v: Bulletin of the Transilvania University of Brasov, Series III: Mathematics, Informatics, Physics. 2011 Part 2, Vol. 4 Issue 53, p73-77. 5p.
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8
Akademický článek
Second-order properties of tail probabilities of sums and randomly weighted sums.
Autor: Mao, Tiantian1 tmao@ustc.edu.cn, Ng, Kai2 kaing@hku.hk
Publikováno v: Extremes. Sep2015, Vol. 18 Issue 3, p403-435. 33p.
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9
Akademický článek
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples.
Autor: Embrechts, Paul1 embrechts@math.ethz.ch, Lambrigger, Dominik1, Wüthrich, Mario1
Publikováno v: Extremes. Jun2009, Vol. 12 Issue 2, p107-127. 21p. 4 Graphs.
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10
Akademický článek
Closure properties of the second-order regular variation under convolutions.
Autor: Liu, Qing, Mao, Tiantian, Hu, Taizhong
Publikováno v: Communications in Statistics: Theory & Methods; 2017, Vol. 46 Issue 1, p104-119, 16p
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