Narrow search
Showing 1 - 10 of 425
Cover Image
Modeling dependence between loss triangles with hierarchical Archimedean copulas
Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 577-599
Persistent link: https://www.econbiz.de/10011397265
Cover Image
The semi-geometric process and some properties
Wu, Shaomin; Wang, Guanjun - In: IMA journal of management mathematics 29 (2018) 2, pp. 229-245
Persistent link: https://www.econbiz.de/10011888616
Cover Image
Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
copula. The copula used is such that it allows for the presence of lower tail-dependence and for asymmetric taildependence …, and that it encompasses the normal or t-copula. The model is estimated using bivariate data on a set of European stock …
Persistent link: https://www.econbiz.de/10010292792
Cover Image
Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
of symmetric (Gaussian copula) or asymmetric (Clayton copula) type. Finally, using 13 EU and US assets, we implement the …
Persistent link: https://www.econbiz.de/10010293995
Cover Image
A new class of copulas with tail dependence and a generalized tail dependence estimator
Fischer, Matthias J.; Hinzmann, Gerd - 2006
dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized …
Persistent link: https://www.econbiz.de/10010299766
Cover Image
A note on a non-parametric tail dependence estimator
Fischer, Matthias J.; Dörflinger, Marco - 2006
that, this tail dependence estimator also results from a specific copula mixture. …
Persistent link: https://www.econbiz.de/10010299786
Cover Image
Unter verallgemeinerter Mittelwertbildung abgeschlossene Familien von Copulas
Klein, Ingo - 2010
We will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH)...
Persistent link: https://www.econbiz.de/10010303831
Cover Image
Families of copulas closed under the construction of generalized linear means
Klein, Ingo; Christa, Florian - 2011
We will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH)...
Persistent link: https://www.econbiz.de/10010304299
Cover Image
Some critical remarks on Zhang's gamma test for independence
Klein, Ingo; Tinkl, Fabian - 2011
Zhang (2008) defines the quotient correlation coefficient to test for dependence and tail dependence of bivariate random samples. He shows that asymptotically the test statistics are gamma distributed. Therefore, he called the corresponding test gamma test. We want to investigate the speed of...
Persistent link: https://www.econbiz.de/10010307488
Cover Image
Modelling the Joint Distribution of Income and Wealth
Jäntti, Markus; Sierminska, Eva; Van Kerm, Philippe - 2015
This paper considers a parametric model for the joint distribution of income and wealth. The model is used to analyze income and wealth inequality in five OECD countries using comparable household-level survey data. We focus on the dependence parameter between the two variables and study whether...
Persistent link: https://www.econbiz.de/10011307414