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On the distribution of sums of random variables with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44
Persistent link: https://www.econbiz.de/10010469189
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Optimal expected-shortfall portfolio selection with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Applied mathematical finance 25 (2018) 1/2, pp. 66-106
Persistent link: https://www.econbiz.de/10011959117
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Testing tail monotonicity by constrained copula estimation
Gijbels, Irène; Sznajder, Dominik - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 338-351
Persistent link: https://www.econbiz.de/10009736100