Zobrazeno 1 - 10
of 54
pro vyhledávání: '"checkerboard copulas"'
Autor:
Grothe Oliver, Rieger Jonas
Publikováno v:
Dependence Modeling, Vol 12, Iss 1, Pp 30-47 (2024)
We analyze optimal low-rank approximations and correspondence analysis of the dependence structure given by arbitrary bivariate checkerboard copulas. Methodologically, we make use of the truncation of singular value decompositions of doubly stochasti
Externí odkaz:
https://doaj.org/article/d86785501fdb46d2a87c81bb9089b73a
Autor:
Sukeda, Issey, Sei, Tomonari
Copulas have gained widespread popularity as statistical models to represent dependence structures between multiple variables in various applications. The minimum information copula, given a finite number of constraints in advance, emerges as the cop
Externí odkaz:
http://arxiv.org/abs/2306.01604
Akademický článek
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Autor:
Jonathan M. Borwein, Phil Howlett
In modelling joint probability distributions it is often desirable to incorporate standard marginal distributions and match a set of key observed mixed moments. At the same time it may also be prudent to avoid additional unwarranted assumptions. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1ce6637b6693bdfd83efd0fc403a32a1
https://hdl.handle.net/11541.2/135183
https://hdl.handle.net/11541.2/135183
Publikováno v:
Communications in Statistics-Theory and Methods
Communications in Statistics-Theory and Methods, Taylor & Francis, 2019
Communications in Statistics-Theory and Methods, Taylor & Francis, 2019
International audience; Estimating high level quantiles of aggregated variables (mainly sums or weighted sums) is crucial in risk management for many application fields such as finance, insurance, environment... This question has been widely treated
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::75030cc32abeadd6839128272ccff09f
https://hal.archives-ouvertes.fr/hal-01201838v2/document
https://hal.archives-ouvertes.fr/hal-01201838v2/document
Autor:
Cuberos, Andres
Cette thèse porte sur l'étude de la modélisation et estimation de la dépendance des portefeuilles de risques et l'estimation du risque agrégé. Dans le Chapitre 2, nous proposons une nouvelle méthode pour estimer les quantiles de haut niveau po
Externí odkaz:
http://www.theses.fr/2015LYO10321/document
Autor:
Cuberos, Andres
Publikováno v:
Gestion et management. Université Claude Bernard-Lyon I, 2015. Français. ⟨NNT : 2015LYO10321⟩
This thesis comprises three essays on estimation methods for the dependence between risks and its aggregation. In the first essay we propose a new method to estimate high level quantiles of sums of risks. It is based on the estimation of the ratio be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::f9ddf9712a818cbbc2a4ab98054f59f6
https://tel.archives-ouvertes.fr/tel-01316888
https://tel.archives-ouvertes.fr/tel-01316888
Publikováno v:
Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance
Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance, Feb 2015, Bruxelles, Belgium. 2015, Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance, 978 90 6569 1 50 7
Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance, Feb 2015, Bruxelles, Belgium. 2015, Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance, 978 90 6569 1 50 7
International audience; Estimating high level quantiles of aggregated variables (mainly sums or weighted sums) is crucial in risk management for many application fields such as finance, insurance, environment. . . . This question has been widely trea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::1ca37ef3f2c142d37bbded2e0216d453
https://hal.archives-ouvertes.fr/hal-01291007
https://hal.archives-ouvertes.fr/hal-01291007
Publikováno v:
SCIENCE CHINA Mathematics; Mar2022, Vol. 65 Issue 3, p623-654, 32p
Autor:
Fuchs, Sebastian, Tschimpke, Marco
A novel positive dependence property is introduced, called positive measure inducing (PMI for short), being fulfilled by numerous copula classes, including Gaussian, Fr\'echet, Farlie-Gumbel-Morgenstern and Frank copulas; it is conjectured that even
Externí odkaz:
http://arxiv.org/abs/2306.09676