Zobrazeno 1 - 10
of 336
pro vyhledávání: '"Klaus D, Schmidt"'
Publikováno v:
Blätter der DGVFM. 25:893-894
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3aecc03c27851919c9f35cc0bf483e61
https://doi.org/10.1007/bf02809126
https://doi.org/10.1007/bf02809126
Autor:
Alexander Schimmele, Klaus D. Schmidt
Publikováno v:
Scandinavian Actuarial Journal. :1-9
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb007435607bab604a5e89106a0383a4
https://doi.org/10.1080/03461238.2023.2169632
https://doi.org/10.1080/03461238.2023.2169632
Autor:
Hartmut Milbrodt
Publikováno v:
ASTIN Bulletin. 33:106-106
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2fcd226c68aaf511220ffdbda6c53e5d
https://doi.org/10.1017/s0515036100013337
https://doi.org/10.1017/s0515036100013337
Autor:
Sucheston, Louis
Publikováno v:
Bull. Amer. Math. Soc. (N.S.) 12, no. 2 (1985), 306-312
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=project_eucl::32bddc14edf6e6e56ff8b998a6313e9f
http://projecteuclid.org/euclid.bams/1183552547
http://projecteuclid.org/euclid.bams/1183552547
Publikováno v:
Risks, Vol 5, Iss 4, p 59 (2017)
In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Q on the open unit interval and a wide class L Q of random variables, we define the quantile risk measure ϱ Q as the map th
Externí odkaz:
https://doaj.org/article/d559b872481c4f409941528c874982c4
Publikováno v:
Blätter der DGVFM; October 2002, Vol. 25 Issue: 4 p893-894, 2p
Publikováno v:
Journal of Optimization Theory and Applications. 178:424-438
Kendall’s tau is one of the most popular measures of concordance, and even in the multivariate case exact upper and lower bounds of Kendall’s tau are known. The present paper provides characterizations of the copulas attaining the bounds of multi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2aaf044bfca86954625cfc2ce3414363
https://doi.org/10.1007/s10957-018-1285-6
https://doi.org/10.1007/s10957-018-1285-6
Publikováno v:
Scandinavian Actuarial Journal. 2018:529-544
This paper is inspired by two papers of Riegel who proposed to consider the paid and incurred loss development of the individual claims and to use a filter in order to separate small and large clai...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9a200faa48f9356e158fd79c7d11290
https://doi.org/10.1080/03461238.2017.1394364
https://doi.org/10.1080/03461238.2017.1394364
Autor:
Klaus D. Schmidt, Sebastian Fuchs
Publikováno v:
Statistics & Probability Letters. 169:108972
Using Kendall’s tau for copulas, we compare the degree of concordance of random variables with that of their order statistics. We prove a general inequality and show that this inequality is strict for every copula from the Frechet family which is d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::90b877574237201dd77b1000c9ad6893
https://doi.org/10.1016/j.spl.2020.108972
https://doi.org/10.1016/j.spl.2020.108972