Dependence Modeling Short Title: Depend. Model. Publisher: De Gruyter, Warsaw ISSN: 2300-2298/e Online: https://www.degruyter.com/view/j/demo Comments: Indexed cover-to-cover; Published electronic only as of Vol. 1 (2013). This journal is available open access. Documents Indexed: 176 Publications (since 2013) References Indexed: 174 Publications with 5,650 References. all top 5 Latest Issues 10 (2022) 9 (2021) 8 (2020) 7 (2019) 6 (2018) 5 (2017) 4 (2016) 3 (2015) 2 (2014) 1 (2013) all top 5 Authors 10 Puccetti, Giovanni 9 Durante, Fabrizio 8 Scherer, Matthias 7 Trutschnig, Wolfgang 6 Mai, Jan-Frederik 6 Rüschendorf, Ludger 5 Fernández-Sánchez, Juan 5 Fuchs, Sebastian L. 5 Genest, Christian 5 Vanduffel, Steven 4 Jaworski, Piotr 4 Pfeifer, Dietmar 4 Ressel, Paul 4 Richter, Wolf-Dieter 4 Spizzichino, Fabio L. 4 Valdez, Emiliano A. 3 Bernard, Carole L. 3 Girard, Stéphane 3 Klement, Erich Peter 3 Liebscher, Eckhard 3 Mändle, Andreas 3 Mesfioui, Mhamed 3 Mesiar, Radko 3 Ragulina, Olena 3 Rullière, Didier 3 Saminger-Platz, Susanne 2 Alquier, Pierre 2 Ansari, Jonathan 2 Cooke, Roger Marvin 2 Czado, Claudia 2 Derumigny, Alexis 2 Deschatre, Thomas 2 Di Bernardino, Elena 2 Dickhaus, Thorsten 2 Embrechts, Paul 2 Fermanian, Jean-David 2 Ferreira, Helena 2 Ferreira, Marta 2 Gan, Guojun 2 Girschig, Côme 2 Guzmics, Sándor 2 Ibragimov, Rustam 2 Jaser, Miriam 2 Kamnitui, Noppadon 2 Kolesárová, Anna 2 Lee, Jeonghwa 2 Maume-Deschamps, Véronique 2 Min, Aleksey 2 Nagler, Thomas 2 Nappo, Giovanna 2 Ouimet, Frédéric 2 Pflug, Georg Ch. 2 Šeliga, Adam 2 Slaoui, Yousri 2 Steffen, Nico 2 Uryasev, Stan 2 Zitikis, Ričardas 1 Aas, Kjersti 1 Acciaio, Beatrice 1 Ackerer, Damien 1 Ahmad, Aboubacrène Ag 1 Ahn, Jae Youn 1 Alvo, Mayer 1 Anatolyev, Stanislav 1 Arbel, Julyan 1 Arias García, José De Jesús 1 Arnold, Barry Charles 1 Arvanitis, Matthew A. 1 Bahraoui, Tarik 1 Bélisle, Louis 1 Benoumechiara, Nazih 1 Benth, Fred Espen 1 Bentoumi, Rachid 1 Bernhart, German 1 Berti, Patrizia 1 Besstremyannaya, Galina 1 Bhattacharya, Sumangal 1 Billio, Monica 1 Bladt, Martin 1 Boginski, Vladimir L. 1 Boglioni Beaulieu, Guillaume 1 Bonollo, Michele 1 Boonmee, Prakassawat 1 Bouchentouf, Amina Angelika 1 Bouezmarni, Taoufik 1 Bouhadjera, Feriel 1 Bousquet, Nicolas 1 Bozbulut, Ali Riza 1 Bücher, Axel 1 Burda, Martin 1 Butenko, Sergiy I. 1 Chebana, Fateh 1 Chen, Shengzhong 1 Cirillo, Pasquale 1 Claeskens, Gerda 1 Constantinescu, Corina D. 1 Cooray, Kahadawala 1 Cuberos, A. 1 Dang, Xin 1 Das, Ishapathik ...and 176 more Authors all top 5 Fields 152 Statistics (62-XX) 70 Probability theory and stochastic processes (60-XX) 47 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Real functions (26-XX) 9 Numerical analysis (65-XX) 7 History and biography (01-XX) 6 Measure and integration (28-XX) 4 Computer science (68-XX) 3 General topology (54-XX) 3 Operations research, mathematical programming (90-XX) 2 Combinatorics (05-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Functional analysis (46-XX) 1 General and overarching topics; collections (00-XX) 1 Special functions (33-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 104 Publications have been cited 372 times in 284 Documents Cited by ▼ Year ▼ Multivariate measures of concordance for copulas and their marginals. Zbl 1349.62244Taylor, M. D. 15 2016 VaR bounds for joint portfolios with dependence constraints. Zbl 1386.91175Puccetti, Giovanni; Rüschendorf, Ludger; Manko, Dennis 15 2016 Multivariate extensions of expectiles risk measures. Zbl 1358.91113Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil 12 2017 About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159Derumigny, Alexis; Fermanian, Jean-David 12 2017 On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. Zbl 1287.62005Di Bernardino, Elena; Rullière, Didier 12 2013 An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. Zbl 1382.91046Gan, Guojun; Valdez, Emiliano A. 11 2016 Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203Embrechts, Paul; Wang, Ruodu 9 2015 Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054Górecki, J.; Hofert, M.; Holeňa, M. 9 2017 Copula-based dependence measures. Zbl 1328.62368Liebscher, Eckhard 9 2014 Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Zbl 06297671Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan 9 2013 Prediction of time series by statistical learning: general losses and fast rates. Zbl 06297673Alquier, Pierre; Li, Xiaoyin; Wintenberger, Olivier 9 2013 A biconvex form for copulas. Zbl 1349.62175Fuchs, Sebastian 8 2016 Stochastic comparisons and bounds for conditional distributions by using copula properties. Zbl 1404.62057Navarro, Jorge; Sordo, Miguel A. 8 2018 Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Zbl 1390.91320Gan, Guojun; Valdez, Emiliano A. 7 2017 New copulas based on general partitions-of-unity and their applications to risk management. Zbl 1349.62177Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme 6 2016 Copula-induced measures of concordance. Zbl 1349.62237Fuchs, Sebastian 6 2016 Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables. Zbl 1388.62144Müller, K.; Richter, W.-D. 6 2016 On conditional value at risk (CoVaR) for tail-dependent copulas. Zbl 1359.62166Jaworski, Piotr 6 2017 Nonparametric estimation of simplified vine copula models: comparison of methods. Zbl 1404.62034Nagler, Thomas; Schellhase, Christian; Czado, Claudia 6 2017 Inference for copula modeling of discrete data: a cautionary tale and some facts. Zbl 1404.62063Faugeras, Olivier P. 6 2017 Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations. Zbl 1402.60020Fernández-Sánchez, Juan; Úbeda-Flores, Manuel 6 2018 A simple non-parametric goodness-of-fit test for elliptical copulas. Zbl 1393.62026Jaser, Miriam; Haug, Stephan; Min, Aleksey 6 2017 New copulas based on general partitions-of-unity and their applications to risk management. II. Zbl 1381.62075Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena 6 2017 The strong Fatou property of risk measures. Zbl 1430.91132Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos 6 2018 Quantile of a mixture with application to model risk assessment. Zbl 1355.60019Bernard, Carole; Vanduffel, Steven 6 2015 VaR bounds in models with partial dependence information on subgroups. Zbl 1417.91284Rüschendorf, Ludger; Witting, Julian 6 2017 Exponential inequalities for nonstationary Markov chains. Zbl 1434.60171Alquier, Pierre; Doukhan, Paul; Fan, Xiequan 5 2019 Dependence measuring from conditional variances. Zbl 1354.60007Kamnitui, Noppadon; Santiwipanont, Tippawan; Sumetkijakan, Songkiat 5 2015 On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias 5 2015 Are law-invariant risk functions concave on distributions? Zbl 1290.91072Acciaio, Beatrice; Svindland, Gregor 5 2013 Dependence of stock returns in bull and bear markets. Zbl 06297674Dobric, Jadran; Frahm, Gabriel; Schmid, Friedrich 5 2013 Baire category results for quasi-copulas. Zbl 1366.60040Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 4 2016 Joint weak hazard rate order under non-symmetric copulas. Zbl 1375.60058Pellerey, Franco; Spizzichino, Fabio 3 2016 On capital allocation for stochastic arrangement increasing actuarial risks. Zbl 1404.62109Pan, Xiaoqing; Li, Xiaohu 3 2017 Risk bounds with additional information on functionals of the risk vector. Zbl 1417.91283Rüschendorf, L. 3 2018 Copulas, stable tail dependence functions, and multivariate monotonicity. Zbl 1445.62107Ressel, Paul 3 2019 On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149Derumigny, Alexis; Fermanian, Jean-David 3 2019 Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Zbl 1392.62311Jin, Xisong; Lehnert, Thorsten 3 2018 Maximum asymmetry of copulas revisited. Zbl 1390.60059Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 3 2018 A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. Zbl 1434.62085Ressel, Paul 3 2018 Predictive analytics of insurance claims using multivariate decision trees. Zbl 1434.62131Quan, Zhiyu; Valdez, Emiliano A. 3 2018 Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 3 2016 On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Zbl 1352.62091Di Bernardino, Elena; Rullière, Didier 3 2016 An analysis of the Rüschendorf transform – with a view towards Sklar’s theorem. Zbl 1406.60023Oertel, Frank 3 2015 A note on the Galambos copula and its associated Berstein function. Zbl 06313233Mai, Jan-Frederik 3 2014 Solution to an open problem about a transformation on the space of copulas. Zbl 1328.62304Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 3 2014 Equivalent or absolutely continuous probability measures with given marginals. Zbl 1328.60007Berti, Patrizia; Pratelli, Luca; Rigo, Pietro; Spizzichino, Fabio 3 2015 Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181Jakob, Kevin; Fischer, Matthias 3 2014 Bregman superquantiles. Estimation methods and applications. Zbl 1348.62076Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B. 2 2016 Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114Puccetti, Giovanni; Scherer, Matthias 2 2018 On the lower bound of Spearman’s footrule. Zbl 1439.62130Fuchs, Sebastian; Mccord, Yann 2 2019 New copulas based on general partitions-of-unity. III: The continuous case. Zbl 1439.62133Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme 2 2019 Dependent defaults and losses with factor copula models. Zbl 1391.60027Ackerer, Damien; Vatter, Thibault 2 2017 Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. Zbl 1393.62025Cooray, Kahadawala 2 2018 Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? Zbl 1394.91331Hüttner, Amelie; Mai, Jan-Frederik; Mineo, Stefano 2 2018 Quadratic transformation of multivariate aggregation functions. Zbl 1457.62152Boonmee, Prakassawat; Tasena, Santi 2 2020 Bivariate box plots based on quantile regression curves. Zbl 1457.62117Navarro, Jorge 2 2020 Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship. Zbl 1434.62053Kadiri, Nadia; Rabhi, Abbes; Bouchentouf, Amina Angelika 2 2018 Law invariant risk measures and information divergences. Zbl 1430.91134Lacker, Daniel 2 2018 Ordering risk bounds in factor models. Zbl 1434.62076Ansari, Jonathan; Rüschendorf, Ludger 2 2018 Testing the symmetry of a dependence structure with a characteristic function. Zbl 1434.62077Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François 2 2018 Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033Guzmics, Sándor; Pflug, Georg Ch. 2 2019 Bounds on integrals with respect to multivariate copulas. Zbl 1414.91429Preischl, Michael 2 2016 Copula modeling for discrete random vectors. Zbl 1460.62071Geenens, Gery 2 2020 Characterizations of bivariate conic, extreme value, and Archimax copulas. Zbl 1404.62058Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter 2 2017 Cost-efficiency in multivariate Lévy models. Zbl 1320.91146Rüschendorf, Ludger; Wolf, Viktor 2 2015 Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias 2 2015 Forecasting time series with multivariate copulas. Zbl 1328.62546Simard, Clarence; Rémillard, Bruno 2 2015 Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment. Zbl 1328.62370Qoyyimi, Danang Teguh; Zitikis, Ricardas 2 2015 A combinatorial proof of the Gaussian product inequality beyond the \(\mathrm{MTP}_2\) case. Zbl 1497.60022Genest, Christian; Ouimet, Frédéric 2 2022 On the control of the difference between two Brownian motions: a dynamic copula approach. Zbl 1350.60083Deschatre, Thomas 1 2016 Stat trek. An interview with Christian Genest. Zbl 1403.62003Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2016 Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). Zbl 1388.62154Müller, K.; Richter, W.-D. 1 2016 On truncation invariant copulas and their estimation. Zbl 1404.62056Jaworski, Piotr 1 2017 A generalized class of correlated run shock models. Zbl 1404.62100Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza 1 2018 Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Zbl 1448.62065Mai, Jan-Frederik 1 2019 Probability of ruin in discrete insurance risk model with dependent Pareto claims. Zbl 1439.62214Constantinescu, Corina D.; Kozubowski, Tomasz J.; Qian, Haoyu H. 1 2019 A latent class analysis towards stability and changes in breadwinning patterns among coupled households. Zbl 1439.62251Pennoni, Fulvia; Nakai, Miki 1 2019 On a class of norms generated by nonnegative integrable distributions. Zbl 1447.60046Falk, Michael; Stupfler, Gilles 1 2019 On Copula-Itô processes. Zbl 1439.62132Jaworski, Piotr 1 2019 Optimal bandwidth selection for recursive Gumbel kernel density estimators. Zbl 1439.62099Slaoui, Yousri 1 2019 CMPH: a multivariate phase-type aggregate loss distribution. Zbl 1393.91101Ren, Jiandong; Zitikis, Ričardas 1 2017 Domination of sample maxima and related extremal dependence measures. Zbl 1391.60069Hashorva, Enkelejd 1 2018 Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024Bernard, Carole; Müller, Alfred 1 2020 The deFinetti representation of generalised Marshall-Olkin sequences. Zbl 1455.60056Sloot, Henrik 1 2020 Copula-based dependence measures for piecewise monotonicity. Zbl 06839230Liebscher, Eckhard 1 2017 The vine philosopher. Zbl 1383.01009Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2017 Explaining predictive models using Shapley values and non-parametric vine copulas. Zbl 1473.62101Aas, Kjersti; Nagler, Thomas; Jullum, Martin; Løland, Anders 1 2021 Study of partial and average conditional Kendall’s tau. Zbl 1476.62091Gijbels, Irène; Matterne, Margot 1 2021 Transformation of a copula using the associated co-copula. Zbl 1434.62081Girard, Stéphane 1 2018 A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. Zbl 1434.62086Trutschnig, Wolfgang; Mroz, Thomas 1 2018 Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. Zbl 1414.91179Devolder, Pierre; Lebègue, Adrien 1 2016 Robustness regions for measures of risk aggregation. Zbl 1356.91106Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas 1 2016 High level quantile approximations of sums of risks. Zbl 1329.62302Cuberos, A.; Masiello, E.; Maume-Deschamps, V. 1 2015 Multivariate Markov families of copulas. Zbl 1335.60134Overbeck, Ludger; Schmidt, Wolfgang M. 1 2015 A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf. Zbl 1329.62016Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias 1 2015 Generalized Bernoulli process with long-range dependence and fractional binomial distribution. Zbl 1474.60109Lee, Jeonghwa 1 2020 Polynomial bivariate copulas of degree five: characterization and some particular inequalities. Zbl 1497.62123Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter 1 2021 Two symmetric and computationally efficient Gini correlations. Zbl 1461.62058Vanderford, Courtney; Sang, Yongli; Dang, Xin 1 2020 My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2017 A combinatorial proof of the Gaussian product inequality beyond the \(\mathrm{MTP}_2\) case. Zbl 1497.60022Genest, Christian; Ouimet, Frédéric 2 2022 Explaining predictive models using Shapley values and non-parametric vine copulas. Zbl 1473.62101Aas, Kjersti; Nagler, Thomas; Jullum, Martin; Løland, Anders 1 2021 Study of partial and average conditional Kendall’s tau. Zbl 1476.62091Gijbels, Irène; Matterne, Margot 1 2021 Polynomial bivariate copulas of degree five: characterization and some particular inequalities. Zbl 1497.62123Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter 1 2021 Sklar’s theorem, copula products, and ordering results in factor models. Zbl 1479.60040Ansari, Jonathan; Rüschendorf, Ludger 1 2021 Diagonal sections of copulas, multivariate conditional hazard rates and distributions of order statistics for minimally stable lifetimes. Zbl 1493.62271Foschi, Rachele; Nappo, Giovanna; Spizzichino, Fabio L. 1 2021 Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application. Zbl 1493.62262Mercadier, Cécile; Ressel, Paul 1 2021 Quadratic transformation of multivariate aggregation functions. Zbl 1457.62152Boonmee, Prakassawat; Tasena, Santi 2 2020 Bivariate box plots based on quantile regression curves. Zbl 1457.62117Navarro, Jorge 2 2020 Copula modeling for discrete random vectors. Zbl 1460.62071Geenens, Gery 2 2020 Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024Bernard, Carole; Müller, Alfred 1 2020 The deFinetti representation of generalised Marshall-Olkin sequences. Zbl 1455.60056Sloot, Henrik 1 2020 Generalized Bernoulli process with long-range dependence and fractional binomial distribution. Zbl 1474.60109Lee, Jeonghwa 1 2020 Two symmetric and computationally efficient Gini correlations. Zbl 1461.62058Vanderford, Courtney; Sang, Yongli; Dang, Xin 1 2020 Exponential inequalities for nonstationary Markov chains. Zbl 1434.60171Alquier, Pierre; Doukhan, Paul; Fan, Xiequan 5 2019 Copulas, stable tail dependence functions, and multivariate monotonicity. Zbl 1445.62107Ressel, Paul 3 2019 On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149Derumigny, Alexis; Fermanian, Jean-David 3 2019 On the lower bound of Spearman’s footrule. Zbl 1439.62130Fuchs, Sebastian; Mccord, Yann 2 2019 New copulas based on general partitions-of-unity. III: The continuous case. Zbl 1439.62133Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme 2 2019 Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033Guzmics, Sándor; Pflug, Georg Ch. 2 2019 Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Zbl 1448.62065Mai, Jan-Frederik 1 2019 Probability of ruin in discrete insurance risk model with dependent Pareto claims. Zbl 1439.62214Constantinescu, Corina D.; Kozubowski, Tomasz J.; Qian, Haoyu H. 1 2019 A latent class analysis towards stability and changes in breadwinning patterns among coupled households. Zbl 1439.62251Pennoni, Fulvia; Nakai, Miki 1 2019 On a class of norms generated by nonnegative integrable distributions. Zbl 1447.60046Falk, Michael; Stupfler, Gilles 1 2019 On Copula-Itô processes. Zbl 1439.62132Jaworski, Piotr 1 2019 Optimal bandwidth selection for recursive Gumbel kernel density estimators. Zbl 1439.62099Slaoui, Yousri 1 2019 Stochastic comparisons and bounds for conditional distributions by using copula properties. Zbl 1404.62057Navarro, Jorge; Sordo, Miguel A. 8 2018 Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations. Zbl 1402.60020Fernández-Sánchez, Juan; Úbeda-Flores, Manuel 6 2018 The strong Fatou property of risk measures. Zbl 1430.91132Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos 6 2018 Risk bounds with additional information on functionals of the risk vector. Zbl 1417.91283Rüschendorf, L. 3 2018 Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Zbl 1392.62311Jin, Xisong; Lehnert, Thorsten 3 2018 Maximum asymmetry of copulas revisited. Zbl 1390.60059Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 3 2018 A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. Zbl 1434.62085Ressel, Paul 3 2018 Predictive analytics of insurance claims using multivariate decision trees. Zbl 1434.62131Quan, Zhiyu; Valdez, Emiliano A. 3 2018 Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114Puccetti, Giovanni; Scherer, Matthias 2 2018 Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. Zbl 1393.62025Cooray, Kahadawala 2 2018 Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? Zbl 1394.91331Hüttner, Amelie; Mai, Jan-Frederik; Mineo, Stefano 2 2018 Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship. Zbl 1434.62053Kadiri, Nadia; Rabhi, Abbes; Bouchentouf, Amina Angelika 2 2018 Law invariant risk measures and information divergences. Zbl 1430.91134Lacker, Daniel 2 2018 Ordering risk bounds in factor models. Zbl 1434.62076Ansari, Jonathan; Rüschendorf, Ludger 2 2018 Testing the symmetry of a dependence structure with a characteristic function. Zbl 1434.62077Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François 2 2018 A generalized class of correlated run shock models. Zbl 1404.62100Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza 1 2018 Domination of sample maxima and related extremal dependence measures. Zbl 1391.60069Hashorva, Enkelejd 1 2018 Transformation of a copula using the associated co-copula. Zbl 1434.62081Girard, Stéphane 1 2018 A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. Zbl 1434.62086Trutschnig, Wolfgang; Mroz, Thomas 1 2018 Multivariate extensions of expectiles risk measures. Zbl 1358.91113Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil 12 2017 About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159Derumigny, Alexis; Fermanian, Jean-David 12 2017 Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054Górecki, J.; Hofert, M.; Holeňa, M. 9 2017 Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Zbl 1390.91320Gan, Guojun; Valdez, Emiliano A. 7 2017 On conditional value at risk (CoVaR) for tail-dependent copulas. Zbl 1359.62166Jaworski, Piotr 6 2017 Nonparametric estimation of simplified vine copula models: comparison of methods. Zbl 1404.62034Nagler, Thomas; Schellhase, Christian; Czado, Claudia 6 2017 Inference for copula modeling of discrete data: a cautionary tale and some facts. Zbl 1404.62063Faugeras, Olivier P. 6 2017 A simple non-parametric goodness-of-fit test for elliptical copulas. Zbl 1393.62026Jaser, Miriam; Haug, Stephan; Min, Aleksey 6 2017 New copulas based on general partitions-of-unity and their applications to risk management. II. Zbl 1381.62075Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena 6 2017 VaR bounds in models with partial dependence information on subgroups. Zbl 1417.91284Rüschendorf, Ludger; Witting, Julian 6 2017 On capital allocation for stochastic arrangement increasing actuarial risks. Zbl 1404.62109Pan, Xiaoqing; Li, Xiaohu 3 2017 Dependent defaults and losses with factor copula models. Zbl 1391.60027Ackerer, Damien; Vatter, Thibault 2 2017 Characterizations of bivariate conic, extreme value, and Archimax copulas. Zbl 1404.62058Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter 2 2017 On truncation invariant copulas and their estimation. Zbl 1404.62056Jaworski, Piotr 1 2017 CMPH: a multivariate phase-type aggregate loss distribution. Zbl 1393.91101Ren, Jiandong; Zitikis, Ričardas 1 2017 Copula-based dependence measures for piecewise monotonicity. Zbl 06839230Liebscher, Eckhard 1 2017 The vine philosopher. Zbl 1383.01009Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2017 My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2017 Multivariate measures of concordance for copulas and their marginals. Zbl 1349.62244Taylor, M. D. 15 2016 VaR bounds for joint portfolios with dependence constraints. Zbl 1386.91175Puccetti, Giovanni; Rüschendorf, Ludger; Manko, Dennis 15 2016 An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. Zbl 1382.91046Gan, Guojun; Valdez, Emiliano A. 11 2016 A biconvex form for copulas. Zbl 1349.62175Fuchs, Sebastian 8 2016 New copulas based on general partitions-of-unity and their applications to risk management. Zbl 1349.62177Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme 6 2016 Copula-induced measures of concordance. Zbl 1349.62237Fuchs, Sebastian 6 2016 Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables. Zbl 1388.62144Müller, K.; Richter, W.-D. 6 2016 Baire category results for quasi-copulas. Zbl 1366.60040Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 4 2016 Joint weak hazard rate order under non-symmetric copulas. Zbl 1375.60058Pellerey, Franco; Spizzichino, Fabio 3 2016 Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 3 2016 On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Zbl 1352.62091Di Bernardino, Elena; Rullière, Didier 3 2016 Bregman superquantiles. Estimation methods and applications. Zbl 1348.62076Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B. 2 2016 Bounds on integrals with respect to multivariate copulas. Zbl 1414.91429Preischl, Michael 2 2016 On the control of the difference between two Brownian motions: a dynamic copula approach. Zbl 1350.60083Deschatre, Thomas 1 2016 Stat trek. An interview with Christian Genest. Zbl 1403.62003Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2016 Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). Zbl 1388.62154Müller, K.; Richter, W.-D. 1 2016 Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. Zbl 1414.91179Devolder, Pierre; Lebègue, Adrien 1 2016 Robustness regions for measures of risk aggregation. Zbl 1356.91106Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas 1 2016 Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203Embrechts, Paul; Wang, Ruodu 9 2015 Quantile of a mixture with application to model risk assessment. Zbl 1355.60019Bernard, Carole; Vanduffel, Steven 6 2015 Dependence measuring from conditional variances. Zbl 1354.60007Kamnitui, Noppadon; Santiwipanont, Tippawan; Sumetkijakan, Songkiat 5 2015 On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias 5 2015 An analysis of the Rüschendorf transform – with a view towards Sklar’s theorem. Zbl 1406.60023Oertel, Frank 3 2015 Equivalent or absolutely continuous probability measures with given marginals. Zbl 1328.60007Berti, Patrizia; Pratelli, Luca; Rigo, Pietro; Spizzichino, Fabio 3 2015 Cost-efficiency in multivariate Lévy models. Zbl 1320.91146Rüschendorf, Ludger; Wolf, Viktor 2 2015 Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. 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Zbl 06313233Mai, Jan-Frederik 3 2014 Solution to an open problem about a transformation on the space of copulas. Zbl 1328.62304Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 3 2014 Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181Jakob, Kevin; Fischer, Matthias 3 2014 Some new random effect models for correlated binary responses. Zbl 1328.62312Tounkara, Fodé; Rivest, Louis-Paul 1 2014 On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. Zbl 1287.62005Di Bernardino, Elena; Rullière, Didier 12 2013 ...and 4 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 412 Authors 12 Fuchs, Sebastian L. 11 Durante, Fabrizio 11 Rüschendorf, Ludger 10 Fernández-Sánchez, Juan 9 Trutschnig, Wolfgang 9 Wang, Ruodu 8 Puccetti, Giovanni 7 Genest, Christian 7 Mai, Jan-Frederik 7 Richter, Wolf-Dieter 7 Rullière, Didier 6 Gan, Guojun 6 Úbeda-Flores, Manuel 6 Vanduffel, Steven 5 Alquier, Pierre 5 Di Bernardino, Elena 5 Fermanian, Jean-David 5 Hofert, Marius 5 Valdez, Emiliano A. 5 Zitikis, Ričardas 4 Derumigny, Alexis 4 Mesiar, Radko 4 Papapantoleon, Antonis 4 Pfeifer, Dietmar 4 Ressel, Paul 4 Scherer, Matthias 4 Tasena, Santi 3 Ansari, Jonathan 3 Arias García, J. J. 3 Barakat, Haroon Mohamed 3 Bignozzi, Valeria 3 Bouzebda, Salim 3 De Baets, Bernard 3 Doukhan, Paul 3 Garnier, Rémy 3 Girard, Stéphane 3 Griessenberger, Florian 3 Jaworski, Piotr 3 Kokol-Bukovšek, Damjana 3 Liebscher, Eckhard 3 Liu, Haiyan 3 Lux, Thibaut 3 Mailhot, Mélina 3 Min, Aleksey 3 Mojškerc, Blaž 3 Navarro, Jorge 3 Ragulina, Olena 2 Ackerer, Damien 2 Bellini, Fabio 2 Bernard, Carole L. 2 Boonmee, Prakassawat 2 Brück, Florian 2 Cornilly, Dries 2 Davydov, Youri 2 Embrechts, Paul 2 Fan, Xiequan 2 Fissler, Tobias 2 Gadat, Sébastien 2 Gao, Niushan 2 Ghonem, Hadeer A. 2 Górecki, Jan 2 Gribkova, Nadezhda Viktorovna 2 Guedj, Benjamin 2 Gupta, Vaishali 2 Gweon, Hyukjun 2 Hashorva, Enkelejd 2 Herrmann, Klaus 2 Jaser, Miriam 2 Joe, Harry 2 Junker, Robert R. 2 Kamnitui, Noppadon 2 Khaled, Osama Mohareb 2 Klement, Erich Peter 2 Kolesárová, Anna 2 Košir, Tomaž 2 Kuznetsov, Vitalii A. 2 Lacker, Daniel 2 Laksaci, Ali 2 Leung, Denny H. 2 Li, Shu 2 Li, Xiaohu 2 Mändle, Andreas 2 Mao, Tiantian 2 Maume-Deschamps, Véronique 2 McCord, Yann 2 Mercadier, Cécile 2 Misra, Amit Kumar 2 Mohammedi, Mustapha 2 Mohri, Mehryar 2 Munari, Cosimo 2 Nešlehová, Johanna G. 2 Omladič, Matjaž 2 Portier, François 2 Quesada-Molina, José Juan 2 Quessy, Jean-François 2 Rigo, Pietro 2 Roustant, Olivier 2 Saminger-Platz, Susanne 2 Schmidt, Klaus D. 2 Šeliga, Adam ...and 312 more Authors all top 5 Cited in 79 Journals 57 Dependence Modeling 24 Insurance Mathematics & Economics 21 Journal of Multivariate Analysis 11 Fuzzy Sets and Systems 10 Electronic Journal of Statistics 8 Journal of Mathematical Analysis and Applications 7 Computational Statistics and Data Analysis 6 Statistics & Probability Letters 6 ASTIN Bulletin 6 Journal of Statistical Distributions and Applications 5 North American Actuarial Journal 4 Information Sciences 4 Journal of Computational and Applied Mathematics 4 Annals of Operations Research 4 European Journal of Operational Research 4 Journal of Statistical Computation and Simulation 4 Scandinavian Actuarial Journal 4 Statistical Methods and Applications 4 Statistics & Risk Modeling 3 Mathematics of Operations Research 3 International Journal of Approximate Reasoning 3 Machine Learning 3 Statistical Papers 2 Advances in Applied Probability 2 Journal of Optimization Theory and Applications 2 Journal of Statistical Planning and Inference 2 Metron 2 Statistics 2 Computational Statistics 2 Communications in Statistics. Simulation and Computation 2 Communications in Statistics. Theory and Methods 2 Stochastic Processes and their Applications 2 Test 2 Mathematical Methods of Statistics 2 Journal of Nonparametric Statistics 2 Extremes 2 CEJOR. Central European Journal of Operations Research 2 Probability in the Engineering and Informational Sciences 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Thai Journal of Mathematics 2 SIAM Journal on Financial Mathematics 2 Sankhyā. Series A 2 Statistics and Computing 1 Metrika 1 Annals of the Institute of Statistical Mathematics 1 Archiv der Mathematik 1 Biometrical Journal 1 Biometrics 1 Journal of Applied Probability 1 Journal of Econometrics 1 Kybernetika 1 Operations Research 1 Proceedings of the American Mathematical Society 1 SIAM Journal on Control and Optimization 1 Statistica 1 Journal of Theoretical Probability 1 The Annals of Applied Probability 1 Applied Mathematical Modelling 1 Mathematical Programming. Series A. 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Theory and Applications 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 AIMS Mathematics all top 5 Cited in 23 Fields 221 Statistics (62-XX) 100 Probability theory and stochastic processes (60-XX) 89 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Operations research, mathematical programming (90-XX) 10 Real functions (26-XX) 9 Computer science (68-XX) 7 Functional analysis (46-XX) 6 Measure and integration (28-XX) 4 Numerical analysis (65-XX) 3 History and biography (01-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 General topology (54-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Algebraic geometry (14-XX) 1 Group theory and generalizations (20-XX) 1 Special functions (33-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Difference and functional equations (39-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year