Pages that link to "Item:Q1424710"
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The following pages link to Using copulae to bound the value-at-risk for functions of dependent risks (Q1424710):
Displaying 50 items.
- Copula-based grouped risk aggregation under mixed operation. (Q265158) (← links)
- Estimation of copula-based semiparametric time series models (Q274894) (← links)
- An efficient nonparametric estimator for models with nonlinear dependence (Q278497) (← links)
- Diversification limit of quantiles under dependence uncertainty (Q291398) (← links)
- On the control of the difference between two Brownian motions: a dynamic copula approach (Q324995) (← links)
- A review of copula models for economic time series (Q443763) (← links)
- Bounds on total economic capital: the DNB case study (Q482086) (← links)
- Bivariate lower and upper orthant value-at-risk (Q487568) (← links)
- Distributional bounds for portfolio risk with tail dependence (Q496974) (← links)
- Partial identification of functionals of the joint distribution of ``potential outcomes'' (Q506042) (← links)
- Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution (Q535460) (← links)
- The complete mixability and convex minimization problems with monotone marginal densities (Q634547) (← links)
- Stochastic comparisons for time transformed exponential models (Q659231) (← links)
- Joint characteristic functions construction via copulas (Q661226) (← links)
- Copula conditional tail expectation for multivariate financial risks (Q683444) (← links)
- Copula based multivariate semi-Markov models with applications in high-frequency finance (Q723963) (← links)
- Measuring exposure to dependence risk with random Bernstein copula scenarios (Q723986) (← links)
- VaR bounds for joint portfolios with dependence constraints (Q727669) (← links)
- Risk analysis under progressive type II censoring with binomial claim numbers (Q732104) (← links)
- Bounds for expectations of concomitants (Q840938) (← links)
- Bounds for functions of dependent risks (Q854282) (← links)
- A new algorithm based on copulas for VaR valuation with empirical calculations (Q883999) (← links)
- Computing the distribution of the sum of dependent random variables via overlapping hypercubes (Q894208) (← links)
- Tolerance intervals for quantiles of bivariate risks and risk measurement (Q931191) (← links)
- Modelling total tail dependence along diagonals (Q939329) (← links)
- Worst VaR scenarios with given marginals and measures of association (Q1017757) (← links)
- Bounds for the sum of dependent risks having overlapping marginals (Q1041073) (← links)
- Data-driven robust optimization (Q1702776) (← links)
- Multiple-event catastrophe bond pricing based on CIR-copula-POT model (Q1727134) (← links)
- Multivariate Fréchet copulas and conditional value-at-risk (Q1774665) (← links)
- Archimedean copulae and positive dependence (Q1776879) (← links)
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities (Q1945047) (← links)
- Risk bounds with additional information on functionals of the risk vector (Q1994041) (← links)
- Risk aggregation with dependence uncertainty (Q2015478) (← links)
- Copula-based Black-Litterman portfolio optimization (Q2060420) (← links)
- Analysis of an aggregate loss model in a Markov renewal regime (Q2242094) (← links)
- Measurement of bivariate risks by the north-south quantile points approach (Q2252700) (← links)
- Statistical properties of parametric estimators for Markov chain vectors based on copula models (Q2270270) (← links)
- Reducing model risk via positive and negative dependence assumptions (Q2347092) (← links)
- Model-free bounds on value-at-risk using extreme value information and statistical distances (Q2415965) (← links)
- Extreme VaR scenarios in higher dimensions (Q2463674) (← links)
- Stochastic orders and risk measures: consistency and bounds (Q2507945) (← links)
- On the distribution of sums of random variables with copula-induced dependence (Q2514603) (← links)
- Worst VaR scenarios (Q2567093) (← links)
- Bounds on the value-at-risk for the sum of possibly dependent risks (Q2567094) (← links)
- Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas (Q2630087) (← links)
- Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model (Q2657454) (← links)
- Bounds for Moments of the Maximum of Concomitants of Selected Order Statistics With Application (Q2786266) (← links)
- Robustness to dependency in portfolio optimization using overlapping marginals (Q2797466) (← links)
- Metrization of stochastic dominance rules (Q2882693) (← links)
