15 results
Extreme comovements and downside/upside risk spillovers between oil prices and exchange rates
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- Journal:
- Macroeconomic Dynamics , First View
- Published online by Cambridge University Press:
- 05 November 2024, pp. 1-20
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Measuring non-exchangeable tail dependence using tail copulas
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- ASTIN Bulletin: The Journal of the IAA / Volume 53 / Issue 2 / May 2023
- Published online by Cambridge University Press:
- 28 February 2023, pp. 466-487
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- May 2023
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Extreme Behaviors of the Tail Gini-Type Variability Measures
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- Probability in the Engineering and Informational Sciences / Volume 37 / Issue 4 / October 2023
- Published online by Cambridge University Press:
- 23 September 2022, pp. 928-942
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6 - Copulas
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- Quantitative Enterprise Risk Management
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- 28 July 2022
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- 05 May 2022, pp 163-201
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Bayesian vine copulas for modelling dependence in data breach losses
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- Annals of Actuarial Science / Volume 16 / Issue 2 / July 2022
- Published online by Cambridge University Press:
- 03 February 2022, pp. 401-424
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On the use of Archimedean copulas for insurance modelling
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- Annals of Actuarial Science / Volume 15 / Issue 1 / March 2021
- Published online by Cambridge University Press:
- 17 June 2020, pp. 57-81
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Simulation-based capital models: testing, justifying and communicating choices. A report from the life aggregation and simulation techniques working party
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- British Actuarial Journal / Volume 22 / Issue 2 / July 2017
- Published online by Cambridge University Press:
- 17 April 2017, pp. 257-335
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PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
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- ASTIN Bulletin: The Journal of the IAA / Volume 45 / Issue 3 / September 2015
- Published online by Cambridge University Press:
- 19 June 2015, pp. 661-678
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- September 2015
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COMPOSITE BERNSTEIN COPULAS
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 45 / Issue 2 / May 2015
- Published online by Cambridge University Press:
- 11 March 2015, pp. 445-475
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- May 2015
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Relations Between Hidden Regular Variation and the Tail Order of Copulas
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- Journal of Applied Probability / Volume 51 / Issue 1 / March 2014
- Published online by Cambridge University Press:
- 30 January 2018, pp. 37-57
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- March 2014
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Diversification in heavy-tailed portfolios: properties and pitfalls
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- Annals of Actuarial Science / Volume 7 / Issue 1 / March 2013
- Published online by Cambridge University Press:
- 19 November 2012, pp. 26-45
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Extremal behavior of Archimedean copulas
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- Advances in Applied Probability / Volume 43 / Issue 1 / March 2011
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- 01 July 2016, pp. 195-216
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- March 2011
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Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
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- Journal of Applied Probability / Volume 46 / Issue 4 / December 2009
- Published online by Cambridge University Press:
- 14 July 2016, pp. 925-937
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- December 2009
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Limiting dependence structures for tail events, with applications to credit derivatives
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- Journal of Applied Probability / Volume 43 / Issue 2 / June 2006
- Published online by Cambridge University Press:
- 14 July 2016, pp. 563-586
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- June 2006
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Multivariate extremes, aggregation and dependence in elliptical distributions
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- Advances in Applied Probability / Volume 34 / Issue 3 / September 2002
- Published online by Cambridge University Press:
- 01 July 2016, pp. 587-608
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- September 2002
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