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Dependent discrete risk processes –calculation of the probability of ruin
Heilpern, Stanislaw - In: Operations Research and Decisions 2 (2010), pp. 59-76
between claims are investigated. Next, the dependency structure is described using an Archimedean copula or using Markov …
Persistent link: https://www.econbiz.de/10008764614
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Dependent binomial distribution and its application in reinsurance and credits
Heilpern, Stanislaw - In: Operations Research and Decisions 1 (2007), pp. 45-61
properties of such distribution are presented. The dependent structure of the random variables is characterized by the copula …
Persistent link: https://www.econbiz.de/10008777241
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Unter verallgemeinerter Mittelwertbildung abgeschlossene Familien von Copulas
Klein, Ingo - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 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/10008788754
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Multivariate copulas with quadratic sections in one variable
Rodríguez-Lallena, José; Úbeda-Flores, Manuel - In: Metrika 72 (2010) 3, pp. 331-349
Persistent link: https://www.econbiz.de/10008673979
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Some approximations of n-copulas
Mikusiński, Piotr; Taylor, Michael - In: Metrika 72 (2010) 3, pp. 385-414
Persistent link: https://www.econbiz.de/10008673983
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Measures of non-exchangeability for bivariate random vectors
Durante, Fabrizio; Klement, Erich; Sempi, Carlo; … - In: Statistical Papers 51 (2010) 3, pp. 687-699
Persistent link: https://www.econbiz.de/10008674143
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Konstruktion und Anwendung von Copulas in der Finanzwirtschaft
Hlawatsch, Stefan; Reichling, Peter - Fakultät für Wirtschaftswissenschaft, … - 2010
Copulas erfreuen sich in der Finanzwirtschaft wachsender Beliebtheit. Ursache hierfür ist insbesondere die Möglichkeit, mit ihrer Hilfe nicht-lineare Abhängigkeitsstrukturen darzustellen. Ein weiterer Vorteil besteht darin, dass multivariate Verteilungen mit Hilfe von Copulas separat in ihre...
Persistent link: https://www.econbiz.de/10008679676
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Portfolio Management under Asymmetric Dependence and Distribution
Hlawatsch, Stefan; Reichling, Peter - Fakultät für Wirtschaftswissenschaft, … - 2010
Capitanio (2003) and a dependency structure following a Clayton copula. The risk measure applied to our portfolio selection …
Persistent link: https://www.econbiz.de/10008679678
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Financial Applications of Copula-Models
Penikas, H. - In: Journal of the New Economic Association (2010) 7, pp. 24-44
The paper aims at introducing copula-models' concepts and its application to solving such financials programs as risk … measurement, risk hedging, portfolio optimization, derivatives pricing and duration models evaluation. For the purpose the copula … definition is firstly introduced. Then different copula families, model estimation and inference techniques are discussed. A …
Persistent link: https://www.econbiz.de/10008679943
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Analyzing Asymetric Dependence in Exchange Rates using Copula
Alupoaiei, Alexie - Center for Advanced Research in Finance and Banking … - 2010
In this paper I aimed to analyze the use of copulas in financial application, namely to investigate the assumption of asymmetric dependence and to compute some measures of risk. For this purpose I used a portfolio consisting in four currencies from Central and Eastern Europe. Due to some...
Persistent link: https://www.econbiz.de/10008682173