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Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model: Applications in financial, actuarial, and natur...

Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks 5 (2017) 3, pp. 1-29

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

Persistent link: https://www.econbiz.de/10011996655

Spouses' dependence across generations and pricing impact on reversionary annuities

Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks 4 (2016) 2, pp. 1-18

This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...

Persistent link: https://www.econbiz.de/10011709557

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks 7 (2019) 3, pp. 1-20

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 …

Persistent link: https://www.econbiz.de/10013200496

Copula-based assessment of co-movement and tail dependence structure among major trading foreign currencies in Ghana

Mensah, Prince Osei; Adam, Anokye M. - In: Risks 8 (2020) 2, pp. 1-20

. Notwithstanding this, the asymmetric tail dependence copulas provide evidence of upper tail dependence. We compare the copula results … to DCC(1,1)-GARCH(1,1) model result and find the copula to be more sensitive to extreme co-movement between the currency …

Persistent link: https://www.econbiz.de/10013200588

Modelling volatile time series with v-transforms and copulas

McNeil, Alexander J. - In: Risks 9 (2021) 1, pp. 1-26

copulas and permit the formulation and estimation of models that combine arbitrary marginal distributions with copula … processes for the dynamics of the volatility proxy. The idea is illustrated using a Gaussian ARMA copula process and the …

Persistent link: https://www.econbiz.de/10013200684

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks 10 (2022) 1, pp. 1-25

-dependence coefficients from the copula-based approach are applied. The analysis period covered 2007 until 2019. The period of the COVID-19 …

Persistent link: https://www.econbiz.de/10013200911