Archimedean copulas with applications to VaR estimation

DOI10.1007/s10260-015-0326-7zbMath1373.60029OpenAlexW815534663WikidataQ59472300 ScholiaQ59472300MaRDI QIDQ2013643

Konrad Furmańczyk

Publication date: 8 August 2017

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-015-0326-7

zbMATH Keywords

order statisticsArchimedean copulasconfidence interval for VaR

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Probability distributions: general theory (60E05)

Cites Work

• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
• An introduction to copulas. Properties and applications
• Diversification of aggregate dependent risks
• Bounds on the value-at-risk for the sum of possibly dependent risks
• On the Tail Behavior of Sums of Dependent Risks
• Limit theory for multivariate sample extremes
• Order Statistics
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• Families of Multivariate Distributions
• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Understanding Relationships Using Copulas
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