Zobrazeno 1 - 10
of 319
pro vyhledávání: '"Rüschendorf Ludger"'
Autor:
Ansari Jonathan, Rüschendorf Ludger
Publikováno v:
Dependence Modeling, Vol 9, Iss 1, Pp 267-306 (2021)
We consider a completely specified factor model for a risk vector X = (X1, . . ., Xd), where the joint distributions of the components of X with a risk factor Z and the conditional distributions of X given Z are specified. We extend the notion of *-p
Externí odkaz:
https://doaj.org/article/3284530526974815a0e3b0b7e9593405
Autor:
Ansari Jonathan, Rüschendorf Ludger
Publikováno v:
Dependence Modeling, Vol 6, Iss 1, Pp 259-287 (2018)
Conditionally comonotonic risk vectors have been proved in [4] to yield worst case dependence structures maximizing the risk of the portfolio sum in partially specified risk factor models. In this paper we investigate the question how risk bounds dep
Externí odkaz:
https://doaj.org/article/c92322be8d0c4a1fae5b2e8748e07d07
Autor:
Rüschendorf Ludger, Witting Julian
Publikováno v:
Dependence Modeling, Vol 5, Iss 1, Pp 59-74 (2017)
We derive improved estimates for the model risk of risk portfolios when additional to the marginals some partial dependence information is available.We consider models which are split into k subgroups and consider various classes of dependence inform
Externí odkaz:
https://doaj.org/article/d907a3a240134171be4017de0c942288
Publikováno v:
Dependence Modeling, Vol 4, Iss 1 (2016)
Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to ho
Externí odkaz:
https://doaj.org/article/918fe619ea794247931e338d1844cd1b
Autor:
Rüschendorf Ludger, Wolf Viktor
Publikováno v:
Dependence Modeling, Vol 3, Iss 1 (2015)
Externí odkaz:
https://doaj.org/article/e5a6cbea98634a5c9561fbcfd2f6680b
Autor:
Ansari, Jonathan, Rüschendorf, Ludger
Publikováno v:
In Journal of Multivariate Analysis May 2024 201
Autor:
Köpfer, Benedikt, Rüschendorf, Ludger
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been obtained based on the theory of evolution systems on Banach spaces. In
Externí odkaz:
http://arxiv.org/abs/1911.04274
Autor:
Köpfer, Benedikt, Rüschendorf, Ludger
Publikováno v:
In Stochastic Processes and their Applications August 2023 162:361-386
Autor:
Köpfer, Benedikt, Rüschendorf, Ludger
Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of the functional It\^o calculus. A main tool is an extension of the Kolm
Externí odkaz:
http://arxiv.org/abs/1908.10076