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How high the hedge : relationships between prices and yields in the federal crop insurance program

Ramsey, A. Ford; Goodwin, Barry K.; Ghosh, Sujit K. - In: Journal of agricultural and resource economics : JARE ; … 44 (2019) 2, pp. 227-245

Persistent link: https://www.econbiz.de/10012038837

Value-at-risk and models of dependence in the U.S. federal crop insurance program

Ramsey, A. Ford; Goodwin, Barry K. - In: Journal of risk and financial management : JRFM 12 (2019) 2/65, pp. 1-21

consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence …

Persistent link: https://www.econbiz.de/10012022159

Collective risk models with dependence

Cossette, Hélène; Marceau, Etienne; Mtalai, Itre - In: Insurance / Mathematics & economics 87 (2019), pp. 153-168

Persistent link: https://www.econbiz.de/10012058960

Risk aggregation and capital allocation using a new generalized Archimedean copula

Marri, Fouad; Moutanabbir, Khouzeima - In: Insurance / Mathematics & economics 102 (2022), pp. 75-90

Persistent link: https://www.econbiz.de/10013271960

Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economic Modelling 35 (2013) C, pp. 199-206

structure. BB1, BB7, BB8, Frank and Joe copulas also fit into some relationships. Regarding dependence, tail measures obtain …In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through … relevant values in most relationships. Lower tail dependence exceeds absolute, measured by Kendall's Tau, and upper tail in …

Persistent link: https://www.econbiz.de/10010719397

Wrong-way risk of interest rate instruments

Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44

Persistent link: https://www.econbiz.de/10012100575

Is hedging the crack spread no longer all it's cracked up to be?

Liu, Pan; Vedenov, Dmitrij V.; Power, Gabriel J. - In: Energy economics 63 (2017), pp. 31-40

Persistent link: https://www.econbiz.de/10011757817

Distortion risk measures for nonnegative multivariate risks

Guillén, Montserrat; Sarabia Alzaga, José Maria; … - In: The journal of operational risk 13 (2018) 2, pp. 35-57

Persistent link: https://www.econbiz.de/10011895037

Explaining the failure to insure catastrophic risks

Kousky, Carolyn; Cooke, Roger M. - In: The Geneva papers on risk and insurance - issues and … 37 (2012) 2, pp. 206-227

Persistent link: https://www.econbiz.de/10009574607

Capital allocation based on the tail covariance premium adjusted

Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131

Persistent link: https://www.econbiz.de/10010402702