Zobrazeno 1 - 5
of 5
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
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