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Dependence Modeling

Short Title: Depend. Model.
Publisher: De Gruyter, Warsaw
ISSN: 2300-2298/e
Online: https://www.degruyter.com/journal/key/demo/html#issues
Comments: Journal; Indexed cover-to-cover; Published electronic only as of Vol. 1 (2013). This journal is available open access.
Documents Indexed: 190 Publications (since 2013)
References Indexed: 188 Publications with 6,148 References.
all top 5

Authors

10 Puccetti, Giovanni
9 Durante, Fabrizio
9 Scherer, Matthias
8 Trutschnig, Wolfgang
6 Fernández-Sánchez, Juan
6 Genest, Christian
6 Mai, Jan-Frederik
6 Rüschendorf, Ludger
5 Fuchs, Sebastian L.
5 Jaworski, Piotr
5 Ressel, Paul
5 Vanduffel, Steven
4 Pfeifer, Dietmar
4 Richter, Wolf-Dieter
4 Spizzichino, Fabio L.
4 Valdez, Emiliano A.
3 Bernard, Carole
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 Bladt, Martin
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 Lefèvre, Claude
2 Masuhr, Andreas
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 Sloot, Henrik
2 Steffen, Nico
2 Sumetkijakan, Songkiat
2 Trede, Mark
2 Uryasev, Stan
2 Zitikis, Ričardas
1 Aas, Kjersti
1 Acciaio, Beatrice
1 Ackerer, Damien
1 Ahmad, Aboubacrène Ag
1 Ahn, Jae Youn
1 Albrecher, Hansjörg
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 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 Chamnan, Wongtawan
1 Chebana, Fateh
1 Chen, Shengzhong
...and 187 more Authors

Publications by Year

Citations contained in zbMATH Open

126 Publications have been cited 494 times in 364 Documents Cited by Year
Multivariate measures of concordance for copulas and their marginals. Zbl 1349.62244
Taylor, M. D.
18
2016
VaR bounds for joint portfolios with dependence constraints. Zbl 1386.91175
Puccetti, Giovanni; Rüschendorf, Ludger; Manko, Dennis
17
2016
Multivariate extensions of expectiles risk measures. Zbl 1358.91113
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
14
2017
About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159
Derumigny, Alexis; Fermanian, Jean-David
13
2017
An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. Zbl 1382.91046
Gan, Guojun; Valdez, Emiliano A.
12
2016
On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. Zbl 1287.62005
Di Bernardino, Elena; Rullière, Didier
12
2013
Prediction of time series by statistical learning: general losses and fast rates. Zbl 06297673
Alquier, Pierre; Li, Xiaoyin; Wintenberger, Olivier
11
2013
Copula-based dependence measures. Zbl 1328.62368
Liebscher, Eckhard
11
2014
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054
Górecki, J.; Hofert, M.; Holeňa, M.
10
2017
Stochastic comparisons and bounds for conditional distributions by using copula properties. Zbl 1404.62057
Navarro, Jorge; Sordo, Miguel A.
10
2018
Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203
Embrechts, Paul; Wang, Ruodu
10
2015
Copula-induced measures of concordance. Zbl 1349.62237
Fuchs, Sebastian
10
2016
Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Zbl 06297671
Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan
10
2013
A biconvex form for copulas. Zbl 1349.62175
Fuchs, Sebastian
9
2016
The strong Fatou property of risk measures. Zbl 1430.91132
Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos
8
2018
Inference for copula modeling of discrete data: a cautionary tale and some facts. Zbl 1404.62063
Faugeras, Olivier P.
8
2017
Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations. Zbl 1402.60020
Fernández-Sánchez, Juan; Úbeda-Flores, Manuel
8
2018
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Zbl 1390.91320
Gan, Guojun; Valdez, Emiliano A.
8
2017
VaR bounds in models with partial dependence information on subgroups. Zbl 1417.91284
Rüschendorf, Ludger; Witting, Julian
7
2017
Nonparametric estimation of simplified vine copula models: comparison of methods. Zbl 1404.62034
Nagler, Thomas; Schellhase, Christian; Czado, Claudia
7
2017
Quantile of a mixture with application to model risk assessment. Zbl 1355.60019
Bernard, Carole; Vanduffel, Steven
7
2015
Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables. Zbl 1388.62144
Müller, K.; Richter, W.-D.
7
2016
Are law-invariant risk functions concave on distributions? Zbl 1290.91072
Acciaio, Beatrice; Svindland, Gregor
7
2013
On conditional value at risk (CoVaR) for tail-dependent copulas. Zbl 1359.62166
Jaworski, Piotr
7
2017
New copulas based on general partitions-of-unity and their applications to risk management. II. Zbl 1381.62075
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena
7
2017
Predictive analytics of insurance claims using multivariate decision trees. Zbl 1434.62131
Quan, Zhiyu; Valdez, Emiliano A.
6
2018
New copulas based on general partitions-of-unity and their applications to risk management. Zbl 1349.62177
Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme
6
2016
Baire category results for quasi-copulas. Zbl 1366.60040
Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
6
2016
A simple non-parametric goodness-of-fit test for elliptical copulas. Zbl 1393.62026
Jaser, Miriam; Haug, Stephan; Min, Aleksey
6
2017
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028
Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias
6
2015
Copulas, stable tail dependence functions, and multivariate monotonicity. Zbl 1445.62107
Ressel, Paul
6
2019
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149
Derumigny, Alexis; Fermanian, Jean-David
6
2019
A combinatorial proof of the Gaussian product inequality beyond the \(\mathrm{MTP}_2\) case. Zbl 1497.60022
Genest, Christian; Ouimet, Frédéric
5
2022
Sklar’s theorem, copula products, and ordering results in factor models. Zbl 1479.60040
Ansari, Jonathan; Rüschendorf, Ludger
5
2021
Quadratic transformation of multivariate aggregation functions. Zbl 1457.62152
Boonmee, Prakassawat; Tasena, Santi
5
2020
Dependence measuring from conditional variances. Zbl 1354.60007
Kamnitui, Noppadon; Santiwipanont, Tippawan; Sumetkijakan, Songkiat
5
2015
Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). Zbl 1388.62154
Müller, K.; Richter, W.-D.
5
2016
Dependence of stock returns in bull and bear markets. Zbl 06297674
Dobric, Jadran; Frahm, Gabriel; Schmid, Friedrich
5
2013
Solution to an open problem about a transformation on the space of copulas. Zbl 1328.62304
Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
5
2014
Maximum asymmetry of copulas revisited. Zbl 1390.60059
Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
5
2018
Exponential inequalities for nonstationary Markov chains. Zbl 1434.60171
Alquier, Pierre; Doukhan, Paul; Fan, Xiequan
5
2019
Ordering risk bounds in factor models. Zbl 1434.62076
Ansari, Jonathan; Rüschendorf, Ludger
4
2018
A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. Zbl 1434.62085
Ressel, Paul
4
2018
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114
Puccetti, Giovanni; Scherer, Matthias
4
2018
An analysis of the Rüschendorf transform – with a view towards Sklar’s theorem. Zbl 1406.60023
Oertel, Frank
4
2015
Joint weak hazard rate order under non-symmetric copulas. Zbl 1375.60058
Pellerey, Franco; Spizzichino, Fabio
4
2016
Copula modeling for discrete random vectors. Zbl 1460.62071
Geenens, Gery
4
2020
Law invariant risk measures and information divergences. Zbl 1430.91134
Lacker, Daniel
3
2018
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024
Bernard, Carole; Müller, Alfred
3
2020
Bivariate box plots based on quantile regression curves. Zbl 1457.62117
Navarro, Jorge
3
2020
Testing the symmetry of a dependence structure with a characteristic function. Zbl 1434.62077
Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François
3
2018
On capital allocation for stochastic arrangement increasing actuarial risks. Zbl 1404.62109
Pan, Xiaoqing; Li, Xiaohu
3
2017
Risk bounds with additional information on functionals of the risk vector. Zbl 1417.91283
Rüschendorf, L.
3
2018
High level quantile approximations of sums of risks. Zbl 1329.62302
Cuberos, A.; Masiello, E.; Maume-Deschamps, V.
3
2015
A note on the Galambos copula and its associated Berstein function. Zbl 06313233
Mai, Jan-Frederik
3
2014
Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
3
2016
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Zbl 1352.62091
Di Bernardino, Elena; Rullière, Didier
3
2016
Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181
Jakob, Kevin; Fischer, Matthias
3
2014
Cost-efficiency in multivariate Lévy models. Zbl 1320.91146
Rüschendorf, Ludger; Wolf, Viktor
3
2015
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
3
2015
Equivalent or absolutely continuous probability measures with given marginals. Zbl 1328.60007
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro; Spizzichino, Fabio
3
2015
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Zbl 1392.62311
Jin, Xisong; Lehnert, Thorsten
3
2018
New copulas based on general partitions-of-unity. III: The continuous case. Zbl 1439.62133
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme
3
2019
Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship. Zbl 1434.62053
Kadiri, Nadia; Rabhi, Abbes; Bouchentouf, Amina Angelika
2
2018
Generating unfavourable VaR scenarios under Solvency II with patchwork copulas. Zbl 1476.91221
Pfeifer, Dietmar; Ragulina, Olena
2
2021
New results on perturbation-based copulas. Zbl 1515.62055
Saminger-Platz, Susanne; Kolesárová, Anna; Šeliga, Adam; Mesiar, Radko; Klement, Erich Peter
2
2021
Diagonal sections of copulas, multivariate conditional hazard rates and distributions of order statistics for minimally stable lifetimes. Zbl 1493.62271
Foschi, Rachele; Nappo, Giovanna; Spizzichino, Fabio L.
2
2021
The deFinetti representation of generalised Marshall-Olkin sequences. Zbl 1455.60056
Sloot, Henrik
2
2020
A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. Zbl 1434.62086
Trutschnig, Wolfgang; Mroz, Thomas
2
2018
Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033
Guzmics, Sándor; Pflug, Georg Ch.
2
2019
Characterizations of bivariate conic, extreme value, and Archimax copulas. Zbl 1404.62058
Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter
2
2017
On truncation invariant copulas and their estimation. Zbl 1404.62056
Jaworski, Piotr
2
2017
A generalized class of correlated run shock models. Zbl 1404.62100
Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza
2
2018
Multivariate extreme value theory – a tutorial. Zbl 1291.62105
Dutfoy, Anne; Parey, Sylvie; Roche, Nicolas
2
2014
Bregman superquantiles. Estimation methods and applications. Zbl 1348.62076
Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B.
2
2016
Bounds on integrals with respect to multivariate copulas. Zbl 1414.91429
Preischl, Michael
2
2016
CMPH: a multivariate phase-type aggregate loss distribution. Zbl 1393.91101
Ren, Jiandong; Zitikis, Ričardas
2
2017
Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? Zbl 1394.91331
Hüttner, Amelie; Mai, Jan-Frederik; Mineo, Stefano
2
2018
Forecasting time series with multivariate copulas. Zbl 1328.62546
Simard, Clarence; Rémillard, Bruno
2
2015
Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment. Zbl 1328.62370
Qoyyimi, Danang Teguh; Zitikis, Ricardas
2
2015
Dependent defaults and losses with factor copula models. Zbl 1391.60027
Ackerer, Damien; Vatter, Thibault
2
2017
Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. Zbl 1393.62025
Cooray, Kahadawala
2
2018
Explaining predictive models using Shapley values and non-parametric vine copulas. Zbl 1473.62101
Aas, Kjersti; Nagler, Thomas; Jullum, Martin; Løland, Anders
2
2021
On the lower bound of Spearman’s footrule. Zbl 1439.62130
Fuchs, Sebastian; Mccord, Yann
2
2019
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Zbl 1448.62065
Mai, Jan-Frederik
2
2019
Generalized Bernoulli process with long-range dependence and fractional binomial distribution. Zbl 1474.60109
Lee, Jeonghwa
2
2020
Polynomial bivariate copulas of degree five: characterization and some particular inequalities. Zbl 1497.62123
Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter
2
2021
On partially Schur-constant models and their associated copulas. Zbl 1493.62272
Lefèvre, Claude
1
2021
On convergence of associative copulas and related results. Zbl 1476.62095
Kasper, Thimo M.; Fuchs, Sebastian; Trutschnig, Wolfgang
1
2021
Dispersive order comparisons on extreme order statistics from homogeneous dependent random vectors. Zbl 1493.62254
Mesfioui, Mhamed; Trufin, Julien
1
2021
Optimizing effective numbers of tests by vine copula modeling. Zbl 1457.62229
Steffen, Nico; Dickhaus, Thorsten
1
2020
Lorenz-generated bivariate Archimedean copulas. Zbl 1457.62156
Fontanari, Andrea; Cirillo, Pasquale; Oosterlee, Cornelis W.
1
2020
The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay. Zbl 1457.62163
Mai, Jan-Frederik
1
2020
Bayesian credibility premium with GB2 copulas. Zbl 1457.62158
Jeong, Himchan; Valdez, Emiliano A.
1
2020
A journey beyond the Gaussian world. An interview with Harry Joe. Zbl 1429.01025
Genest, Christian; Puccetti, Giovanni
1
2018
Transformation of a copula using the associated co-copula. Zbl 1434.62081
Girard, Stéphane
1
2018
My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
Multivariate Markov families of copulas. Zbl 1335.60134
Overbeck, Ludger; Schmidt, Wolfgang M.
1
2015
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf. Zbl 1329.62016
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
1
2015
On the control of the difference between two Brownian motions: a dynamic copula approach. Zbl 1350.60083
Deschatre, Thomas
1
2016
Testing for explosive bubbles: a review. Zbl 1514.62173
Skrobotov, Anton
1
2023
When copulas and smoothing met: an interview with Irène Gijbels. Zbl 07701187
Genest, Christian; Scherer, Matthias
1
2023
On copulas with a trapezoid support. Zbl 1522.62033
Jaworski, Piotr
1
2023
A combinatorial proof of the Gaussian product inequality beyond the \(\mathrm{MTP}_2\) case. Zbl 1497.60022
Genest, Christian; Ouimet, Frédéric
5
2022
Nonparametric C- and D-vine-based quantile regression. Zbl 1480.62069
Tepegjozova, Marija; Zhou, Jing; Claeskens, Gerda; Czado, Claudia
1
2022
Sklar’s theorem, copula products, and ordering results in factor models. Zbl 1479.60040
Ansari, Jonathan; Rüschendorf, Ludger
5
2021
Generating unfavourable VaR scenarios under Solvency II with patchwork copulas. Zbl 1476.91221
Pfeifer, Dietmar; Ragulina, Olena
2
2021
New results on perturbation-based copulas. Zbl 1515.62055
Saminger-Platz, Susanne; Kolesárová, Anna; Šeliga, Adam; Mesiar, Radko; Klement, Erich Peter
2
2021
Diagonal sections of copulas, multivariate conditional hazard rates and distributions of order statistics for minimally stable lifetimes. Zbl 1493.62271
Foschi, Rachele; Nappo, Giovanna; Spizzichino, Fabio L.
2
2021
Explaining predictive models using Shapley values and non-parametric vine copulas. Zbl 1473.62101
Aas, Kjersti; Nagler, Thomas; Jullum, Martin; Løland, Anders
2
2021
Polynomial bivariate copulas of degree five: characterization and some particular inequalities. Zbl 1497.62123
Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter
2
2021
On partially Schur-constant models and their associated copulas. Zbl 1493.62272
Lefèvre, Claude
1
2021
On convergence of associative copulas and related results. Zbl 1476.62095
Kasper, Thimo M.; Fuchs, Sebastian; Trutschnig, Wolfgang
1
2021
Dispersive order comparisons on extreme order statistics from homogeneous dependent random vectors. Zbl 1493.62254
Mesfioui, Mhamed; Trufin, Julien
1
2021
Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application. Zbl 1493.62262
Mercadier, Cécile; Ressel, Paul
1
2021
A tribute to Abe Sklar. Zbl 1487.01030
Genest, Christian
1
2021
Study of partial and average conditional Kendall’s tau. Zbl 1476.62091
Gijbels, Irène; Matterne, Margot
1
2021
Quadratic transformation of multivariate aggregation functions. Zbl 1457.62152
Boonmee, Prakassawat; Tasena, Santi
5
2020
Copula modeling for discrete random vectors. Zbl 1460.62071
Geenens, Gery
4
2020
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024
Bernard, Carole; Müller, Alfred
3
2020
Bivariate box plots based on quantile regression curves. Zbl 1457.62117
Navarro, Jorge
3
2020
The deFinetti representation of generalised Marshall-Olkin sequences. Zbl 1455.60056
Sloot, Henrik
2
2020
Generalized Bernoulli process with long-range dependence and fractional binomial distribution. Zbl 1474.60109
Lee, Jeonghwa
2
2020
Optimizing effective numbers of tests by vine copula modeling. Zbl 1457.62229
Steffen, Nico; Dickhaus, Thorsten
1
2020
Lorenz-generated bivariate Archimedean copulas. Zbl 1457.62156
Fontanari, Andrea; Cirillo, Pasquale; Oosterlee, Cornelis W.
1
2020
The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay. Zbl 1457.62163
Mai, Jan-Frederik
1
2020
Bayesian credibility premium with GB2 copulas. Zbl 1457.62158
Jeong, Himchan; Valdez, Emiliano A.
1
2020
Two symmetric and computationally efficient Gini correlations. Zbl 1461.62058
Vanderford, Courtney; Sang, Yongli; Dang, Xin
1
2020
On quantile based co-risk measures and their estimation. Zbl 1460.62070
Fuchs, Sebastian; Trutschnig, Wolfgang
1
2020
Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property. Zbl 1437.60059
Nappo, Giovanna; Spizzichino, Fabio
1
2020
Checkerboard copula defined by sums of random variables. Zbl 1437.62181
Kuzmenko, Viktor; Salam, Romel; Uryasev, Stan
1
2020
Copulas, stable tail dependence functions, and multivariate monotonicity. Zbl 1445.62107
Ressel, Paul
6
2019
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149
Derumigny, Alexis; Fermanian, Jean-David
6
2019
Exponential inequalities for nonstationary Markov chains. Zbl 1434.60171
Alquier, Pierre; Doukhan, Paul; Fan, Xiequan
5
2019
New copulas based on general partitions-of-unity. III: The continuous case. Zbl 1439.62133
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme
3
2019
Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033
Guzmics, Sándor; Pflug, Georg Ch.
2
2019
On the lower bound of Spearman’s footrule. Zbl 1439.62130
Fuchs, Sebastian; Mccord, Yann
2
2019
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Zbl 1448.62065
Mai, Jan-Frederik
2
2019
Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo. Zbl 1439.62127
Burda, Martin; Bélisle, Louis
1
2019
Probability of ruin in discrete insurance risk model with dependent Pareto claims. Zbl 1439.62214
Constantinescu, 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 1439.62251
Pennoni, Fulvia; Nakai, Miki
1
2019
On a class of norms generated by nonnegative integrable distributions. Zbl 1447.60046
Falk, Michael; Stupfler, Gilles
1
2019
On Copula-Itô processes. Zbl 1439.62132
Jaworski, Piotr
1
2019
Optimal bandwidth selection for recursive Gumbel kernel density estimators. Zbl 1439.62099
Slaoui, Yousri
1
2019
Stochastic comparisons and bounds for conditional distributions by using copula properties. Zbl 1404.62057
Navarro, Jorge; Sordo, Miguel A.
10
2018
The strong Fatou property of risk measures. Zbl 1430.91132
Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos
8
2018
Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations. Zbl 1402.60020
Fernández-Sánchez, Juan; Úbeda-Flores, Manuel
8
2018
Predictive analytics of insurance claims using multivariate decision trees. Zbl 1434.62131
Quan, Zhiyu; Valdez, Emiliano A.
6
2018
Maximum asymmetry of copulas revisited. Zbl 1390.60059
Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
5
2018
Ordering risk bounds in factor models. Zbl 1434.62076
Ansari, Jonathan; Rüschendorf, Ludger
4
2018
A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. Zbl 1434.62085
Ressel, Paul
4
2018
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114
Puccetti, Giovanni; Scherer, Matthias
4
2018
Law invariant risk measures and information divergences. Zbl 1430.91134
Lacker, Daniel
3
2018
Testing the symmetry of a dependence structure with a characteristic function. Zbl 1434.62077
Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François
3
2018
Risk bounds with additional information on functionals of the risk vector. Zbl 1417.91283
Rüschendorf, L.
3
2018
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Zbl 1392.62311
Jin, Xisong; Lehnert, Thorsten
3
2018
Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship. Zbl 1434.62053
Kadiri, Nadia; Rabhi, Abbes; Bouchentouf, Amina Angelika
2
2018
A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. Zbl 1434.62086
Trutschnig, Wolfgang; Mroz, Thomas
2
2018
A generalized class of correlated run shock models. Zbl 1404.62100
Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza
2
2018
Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? Zbl 1394.91331
Hüttner, Amelie; Mai, Jan-Frederik; Mineo, Stefano
2
2018
Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. Zbl 1393.62025
Cooray, Kahadawala
2
2018
A journey beyond the Gaussian world. An interview with Harry Joe. Zbl 1429.01025
Genest, Christian; Puccetti, Giovanni
1
2018
Transformation of a copula using the associated co-copula. Zbl 1434.62081
Girard, Stéphane
1
2018
Domination of sample maxima and related extremal dependence measures. Zbl 1391.60069
Hashorva, Enkelejd
1
2018
Multivariate extensions of expectiles risk measures. Zbl 1358.91113
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
14
2017
About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159
Derumigny, Alexis; Fermanian, Jean-David
13
2017
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054
Górecki, J.; Hofert, M.; Holeňa, M.
10
2017
Inference for copula modeling of discrete data: a cautionary tale and some facts. Zbl 1404.62063
Faugeras, Olivier P.
8
2017
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Zbl 1390.91320
Gan, Guojun; Valdez, Emiliano A.
8
2017
VaR bounds in models with partial dependence information on subgroups. Zbl 1417.91284
Rüschendorf, Ludger; Witting, Julian
7
2017
Nonparametric estimation of simplified vine copula models: comparison of methods. Zbl 1404.62034
Nagler, Thomas; Schellhase, Christian; Czado, Claudia
7
2017
On conditional value at risk (CoVaR) for tail-dependent copulas. Zbl 1359.62166
Jaworski, Piotr
7
2017
New copulas based on general partitions-of-unity and their applications to risk management. II. Zbl 1381.62075
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena
7
2017
A simple non-parametric goodness-of-fit test for elliptical copulas. Zbl 1393.62026
Jaser, Miriam; Haug, Stephan; Min, Aleksey
6
2017
On capital allocation for stochastic arrangement increasing actuarial risks. Zbl 1404.62109
Pan, Xiaoqing; Li, Xiaohu
3
2017
Characterizations of bivariate conic, extreme value, and Archimax copulas. Zbl 1404.62058
Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter
2
2017
On truncation invariant copulas and their estimation. Zbl 1404.62056
Jaworski, Piotr
2
2017
CMPH: a multivariate phase-type aggregate loss distribution. Zbl 1393.91101
Ren, Jiandong; Zitikis, Ričardas
2
2017
Dependent defaults and losses with factor copula models. Zbl 1391.60027
Ackerer, Damien; Vatter, Thibault
2
2017
My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
Copula-based dependence measures for piecewise monotonicity. Zbl 06839230
Liebscher, Eckhard
1
2017
Exact distributions of order statistics from \(l_{n,p}\)-symmetric sample distributions. Zbl 1383.62149
Müller, K.; Richter, W.-D.
1
2017
The vine philosopher. Zbl 1383.01009
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
A joint regression modeling framework for analyzing bivariate binary data in \(\mathsf{R}\). Zbl 06839234
Marra, Giampiero; Radice, Rosalba
1
2017
Multivariate measures of concordance for copulas and their marginals. Zbl 1349.62244
Taylor, M. D.
18
2016
VaR bounds for joint portfolios with dependence constraints. Zbl 1386.91175
Puccetti, Giovanni; Rüschendorf, Ludger; Manko, Dennis
17
2016
An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. Zbl 1382.91046
Gan, Guojun; Valdez, Emiliano A.
12
2016
Copula-induced measures of concordance. Zbl 1349.62237
Fuchs, Sebastian
10
2016
A biconvex form for copulas. Zbl 1349.62175
Fuchs, Sebastian
9
2016
Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables. Zbl 1388.62144
Müller, K.; Richter, W.-D.
7
2016
New copulas based on general partitions-of-unity and their applications to risk management. Zbl 1349.62177
Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme
6
2016
Baire category results for quasi-copulas. Zbl 1366.60040
Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
6
2016
Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). Zbl 1388.62154
Müller, K.; Richter, W.-D.
5
2016
Joint weak hazard rate order under non-symmetric copulas. Zbl 1375.60058
Pellerey, Franco; Spizzichino, Fabio
4
2016
Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
3
2016
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Zbl 1352.62091
Di Bernardino, Elena; Rullière, Didier
3
2016
Bregman superquantiles. Estimation methods and applications. Zbl 1348.62076
Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B.
2
2016
Bounds on integrals with respect to multivariate copulas. Zbl 1414.91429
Preischl, Michael
2
2016
On the control of the difference between two Brownian motions: a dynamic copula approach. Zbl 1350.60083
Deschatre, Thomas
1
2016
Stat trek. An interview with Christian Genest. Zbl 1403.62003
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2016
...and 26 more Documents
all top 5

Cited by 512 Authors

14 Durante, Fabrizio
14 Fuchs, Sebastian L.
13 Rüschendorf, Ludger
10 Fernández-Sánchez, Juan
10 Wang, Ruodu
9 Genest, Christian
9 Richter, Wolf-Dieter
9 Trutschnig, Wolfgang
8 Puccetti, Giovanni
7 Gan, Guojun
7 Kokol-Bukovšek, Damjana
7 Mai, Jan-Frederik
7 Rullière, Didier
7 Valdez, Emiliano A.
6 Alquier, Pierre
6 Di Bernardino, Elena
6 Fermanian, Jean-David
6 Klement, Erich Peter
6 Mesiar, Radko
6 Ressel, Paul
6 Saminger-Platz, Susanne
6 Tasena, Santi
6 Úbeda-Flores, Manuel
6 Vanduffel, Steven
5 Derumigny, Alexis
5 Girard, Stéphane
5 Hofert, Marius
5 Omladič, Matjaž
5 Stopar, Nik
5 Zitikis, Ričardas
4 Ansari, Jonathan
4 Bouzebda, Salim
4 De Baets, Bernard
4 Jaworski, Piotr
4 Kolesárová, Anna
4 Min, Aleksey
4 Mojškerc, Blaž
4 Nešlehová, Johanna G.
4 Papapantoleon, Antonis
4 Pfeifer, Dietmar
4 Scherer, Matthias
3 Arias García, J. J.
3 Barakat, Haroon Mohamed
3 Bernard, Carole
3 Bignozzi, Valeria
3 Doukhan, Paul
3 Garnier, Rémy
3 Griessenberger, Florian
3 Li, Xiaohu
3 Liebscher, Eckhard
3 Liu, Haiyan
3 Lux, Thibaut
3 Mailhot, Mélina
3 Munari, Cosimo
3 Navarro, Jorge
3 Okhrin, Ostap
3 Pellerey, Franco
3 Ragulina, Olena
3 Šeliga, Adam
3 Sordo, Miguel Ángel
3 Suarez-Llorens, Alfonso
3 Susam, Selim Orhun
3 Svindland, Gregor
2 Ackerer, Damien
2 Arbel, Julyan
2 Bagdonas, Gediminas
2 Bellini, Fabio
2 Bodnar, Taras
2 Boonmee, Prakassawat
2 Boonyasri, Varayut
2 Brück, Florian
2 Buono, Francesco
2 Chesneau, Christophe
2 Cornilly, Dries
2 Dang, Xin
2 Davydov, Youri
2 Dickhaus, Thorsten
2 Duchesne, Thierry
2 Eckstein, Stephan
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 Košir, Tomaž
2 Kuznetsov, Vitalii A.
2 Lacker, Daniel
...and 412 more Authors
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Cited in 98 Journals

65 Dependence Modeling
29 Journal of Multivariate Analysis
29 Insurance Mathematics & Economics
17 Fuzzy Sets and Systems
10 Electronic Journal of Statistics
9 Journal of Mathematical Analysis and Applications
8 Computational Statistics and Data Analysis
7 Statistics & Probability Letters
7 Journal of Statistical Distributions and Applications
6 Journal of Computational and Applied Mathematics
6 ASTIN Bulletin
5 European Journal of Operational Research
5 North American Actuarial Journal
5 Thai Journal of Mathematics
4 Information Sciences
4 International Journal of Approximate Reasoning
4 Annals of Operations Research
4 Communications in Statistics. Theory and Methods
4 Journal of Statistical Computation and Simulation
4 Test
4 Statistical Papers
4 Scandinavian Actuarial Journal
4 Statistical Methods and Applications
4 Statistics & Risk Modeling
3 Advances in Applied Probability
3 Metrika
3 Journal of Statistical Planning and Inference
3 Mathematics of Operations Research
3 Machine Learning
3 Extremes
3 Probability in the Engineering and Informational Sciences
3 Statistics and Computing
2 Journal of Econometrics
2 Journal of Optimization Theory and Applications
2 Metron
2 Proceedings of the American Mathematical Society
2 SIAM Journal on Control and Optimization
2 Statistics
2 The Annals of Applied Probability
2 Computational Statistics
2 Communications in Statistics. Simulation and Computation
2 Stochastic Processes and their Applications
2 Mathematical Methods of Statistics
2 Journal of Nonparametric Statistics
2 Finance and Stochastics
2 CEJOR. Central European Journal of Operations Research
2 Methodology and Computing in Applied Probability
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Journal of the Korean Statistical Society
2 Journal of Statistical Theory and Practice
2 SIAM Journal on Financial Mathematics
2 Sankhyā. Series A
1 The Canadian Journal of Statistics
1 Physica A
1 Annals of the Institute of Statistical Mathematics
1 Archiv der Mathematik
1 Biometrical Journal
1 Biometrics
1 International Statistical Review
1 Journal of the American Statistical Association
1 Journal of Applied Probability
1 Journal of Mathematical Economics
1 Kybernetika
1 Operations Research
1 Statistica
1 Journal of Time Series Analysis
1 Journal of Theoretical Probability
1 Applied Mathematical Modelling
1 Mathematical Programming. Series A. Series B
1 Applicationes Mathematicae
1 Applied Mathematical Finance
1 Annals of Mathematics and Artificial Intelligence
1 Bernoulli
1 Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Positivity
1 Journal of Inequalities and Applications
1 Journal of Applied Statistics
1 Optimization and Engineering
1 Decisions in Economics and Finance
1 Journal of Machine Learning Research (JMLR)
1 4OR
1 Hacettepe Journal of Mathematics and Statistics
1 REVSTAT
1 Mediterranean Journal of Mathematics
1 Journal of Industrial and Management Optimization
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 Mathematics and Financial Economics
1 AStA. Advances in Statistical Analysis
1 Foundations and Trends in Machine Learning
1 Acta Universitatis Sapientiae. Mathematica
1 Probability Surveys
1 Journal of Probability and Statistics
1 Annals of Finance
1 İstatistik
1 Modern Stochastics. Theory and Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
1 AIMS Mathematics

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