. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value …-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

(DPFS) using clustering analysis, and copula-based parametric modeling of frequency and severity (CPFS). These two …

, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …

based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency …

distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of …

distribution and the Farlie–Gumbel–Morgenstern (FGM) copula-based bivariate exponential distribution. The reinsurance premium paid …