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Some notions of multivariate positive dependence
2 references·4 citing·26 second hop
Some notions of multivariate positive dependence (2005)Some notions of multivariate positive dep…Stochastic Comparison of Random Vectors with a Common Copula (2001)Stochastic Comparison of Rand…A Theory of Auctions and Competitive Bidding (1982)A Theory of Auctions and Comp…Banding Sample Autocovariance Matrices of Stationary Processes (2022)Banding Sample Autocovariance…Optimal capital allocations to interdependent actuarial risks (2014)Optimal capital allocations t…Pricing CDOs with state-dependent stochastic recovery rates (2012)Pricing CDOs with state-depen…Optimal reinsurance with positively dependent risks (2011)Optimal reinsurance with posi…COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)Good News and Bad News: Representation Theorems and Applications (1981)Optimal Auction Design (1981)The Theory of Incentives: The Principal-Agent Model (2001)Field Experiments (2004)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)A reinsurance game between two insurance companies with nonlinear risk processes (2015)Optimal reinsurance with expectile (2015)Optimal reinsurance designs based on risk measures: a review (2020)The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Quantitative Risk Management (2011)Increasing Risk: Some Direct Constructions (1997)Stop-loss order for portfolios of dependent risks (1997)An Introduction to Copulas (1999)Measures of risk (2004)Dependence Properties of Meta-Elliptical Distributions (2005)TVaR-based capital allocation with copulas (2009)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)
this work references cited by second hop

References

  • 1982A Theory of Auctions and Competitive Bidding3,770 cited
  • 2001Stochastic Comparison of Random Vectors with a Common Copula126 cited

Cited by

  • 2011Optimal reinsurance with positively dependent risks60 cited
  • 2014Optimal capital allocations to interdependent actuarial risks35 cited
  • 2022Banding Sample Autocovariance Matrices of Stationary Processes28 cited
  • 2012Pricing CDOs with state-dependent stochastic recovery rates19 cited

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