The serial dependency of multivariate nancial data will often be ltered by con-sidering the residuals of univariate GARCH models adapted to every single series.This is the correct ltering strategy if the multivariate process follows a so-calledcopula based multivariate dynamic model (CMD). These...

Es ist mittlerweile weitgehend unbestritten, dass der demographische Wandel eine grundlegende Reform der gesetzlichen Rentenversicherung erforderlich macht. Dies soll im Wesentlichen durch die Einführung einer Zusatzrente auf Kapitalbasis (Teilkapitaldeckungsverfahren) erfolgen. Der Beitrag...

There are several possibilities to introduce skewness into a symmetric distribution. One ofthese procedures applies two di®erent parameters of scale { with possibly di®erent weights {to the positive and the negative part of a symmetric density. Within this work we show thatthis technique...

Two major generalizations of the hyperbolic secant distributionhave been proposed in the statistical literature which both introduce an additionalparameter that governs the kurtosis of the generalized distribution. Thegeneralized hyperbolic secant (GHS) distribution was introduced by Harknessand...

Leptokurtic distributions can be generated by applying certainnon-linear transformations to a standard normal random variable. Withinthis work we derive general conditions for these transformations which guaranteethat the generated distributions are ordered with respect to the partialordering of...