Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Eike Christian Brechmann"'
Publikováno v:
Journal of Statistical Software, Vol 52, Iss 3 (2013)
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian distribution is however very restrictive and cannot account for features like asymmetry and heavy tails. Therefore dependence modeling using copulas is no
Externí odkaz:
https://doaj.org/article/7114213032e0489899a2cb3fa3514cb8
Autor:
Eike Christian Brechmann, Harry Joe
Publikováno v:
Journal of Multivariate Analysis. 138:19-33
Vine copulas are flexible multivariate dependence models, which are built up from a set of bivariate copulas in different hierarchical levels. However, vine copulas have a computational complexity that is increasing quadratically in the number of var
This article proposes a dynamic framework for modeling and forecasting of realized covariance matrices using vine copulas to allow for more flexible dependencies between assets. Our model automatically guarantees positive definiteness of the forecast
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::403c1ec69e60e49483f8910c0b5bdc25
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/40338
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/40338
Autor:
Eike Christian Brechmann, Harry Joe
Publikováno v:
Computational Statistics & Data Analysis. 77:233-251
Both in classical multivariate analysis and in modern copula modeling, correlation matrices are a central concept of dependence modeling using multivariate normal distributions and copulas. Since the number of correlation parameters quadratically inc
Publikováno v:
Applied Stochastic Models in Business and Industry. 31:495-514
The analysis of multivariate time series is a common problem in areas like finance and economics. The classical tools for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric dependence. We
Publikováno v:
ResearcherID
Modeling dependence among operational loss frequencies is a natural way of trying to capture possible relationships between losses, which are categorized differently with respect to the business line or the event type, but which have occurred simulta
Publikováno v:
Insurance: Mathematics and Economics. 53:722-732
Since the financial crisis of 2007–2009 there is an active debate by regulators and academic researchers on systemic risk, with the aim of preventing similar crises in the future or at least reducing their impact. A major determinant of systemic ri
Publikováno v:
Scandinavian Actuarial Journal. 2012:278-305
A crucial assumption of the classical compound Poisson model of Lundberg for assessing the total loss incurred in an insurance portfolio is the independence between the occurrence of a claim and its claims size. In this paper we present a mixed copul
Publikováno v:
Risk-A Multidisciplinary Introduction ISBN: 9783319044859
Uncertainty in the behavior of quantities of interest causes risk. Therefore statistics is used to estimate these quantities and assess their variability. Classical statistical inference does not allow to incorporate expert knowledge or to assess the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e2a72aee1740846bac1287706807700a
https://doi.org/10.1007/978-3-319-04486-6_8
https://doi.org/10.1007/978-3-319-04486-6_8
Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Operational risk data, when available, are usually scarce, heavy-tailed and possibly dependent. In this work, we introduce a model that captures such real-world characteristics and explicitly deals with heterogeneous pairwise and tail dependence of l
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c935a8a4dfd888d3a3524a16f285971
https://hdl.handle.net/11380/982310
https://hdl.handle.net/11380/982310