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Fitting bivariate loss distributions with copulas
2 references·16 citing·44 second hop
Fitting bivariate loss distributions with copulas (1999)Fitting bivariate loss distributions with…Understanding Relationships Using Copulas (1998)Understanding Relationships U…Annuity Valuation with Dependent Mortality (1996)Annuity Valuation with Depend…Probit transformation for nonparametric kernel estimation of the copula density (2017)Probit transformation for non…Modeling loss data using composite models (2014)Modeling loss data using comp…TAILS OF COPULAS (2013)TAILS OF COPULASFitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models? (2012)Fitting insurance claims to s…Fast large-sample goodness-of-fit tests for copulas (2011)Fast large-sample goodness-of…A goodness-of-fit test for bivariate extreme-value copulas (2011)A goodness-of-fit test for bi…Estimating copula densities through wavelets (2008)Estimating copula densities t…On the construction of copulas and quasi-copulas with given diagonal sections (2007)On the construction of copula…Fully Nested 3-Copula: Procedure and Application on Hydrological Data (2007)Fully Nested 3-Copula: Proced…Portfolio optimization when asset returns have the Gaussian mixture distribution (2006)Portfolio optimization when a…After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)After VaR: The Theory, Estima…Using Trivariate Copulas to Model Sample Selection and Treatment Effects (2005)Using Trivariate Copulas to M…Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection (2005)Pseudo-likelihood ratio tests…Measurement of aggregate risk with copulas (2005)Measurement of aggregate risk…A kolmogorov-smirnov type test for positive quadrant dependence (2005)A kolmogorov-smirnov type tes…Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004)Simple Tests for Models of De…Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)An Introduction to Copulas (1999)Goodness-of-fit test for copulas (2005)Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters (2006)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Modeling loss data using mixtures of distributions (2016)Compound unimodal distributions for insurance losses (2017)Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions (2017)Discrete Choice Methods with Simulation (2001)A copula-based closed-form binary logit choice model for accommodating spatial correlation across observational units (2009)Multivariate negative binomial models for insurance claim counts (2013)Modeling Customer Opt-In and Opt-Out in a Permission-Based Marketing Context (2014)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)A goodness of fit test for copulas based on Rosenblatt's transformation (2006)Statistical Tools for Finance and Insurance (2011)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Absolutely Continuous Copulas with Given Diagonal Sections (2008)On copulas and their diagonals (2008)Rectangular Patchwork for Bivariate Copulas and Tail Dependence (2009)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam (2012)Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns (2013)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Estimation methods for expected shortfall (2013)Data breaches: Goodness of fit, pricing, and risk measurement (2017)Coherent Measures of Risk (1999)Implementation of Enterprise Risk Management: Evidence from the German Property-Liability Insurance Industry (2011)Is enterprise risk management real? (2011)Frontiers in VaR forecasting and backtesting (2016)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Broken Heart: A Statistical Study of Increased Mortality among Widowers (1969)The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)Correlations and Copulas for Decision and Risk Analysis (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Annuitization and asset allocation (2007)
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References

  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1996Annuity Valuation with Dependent Mortality256 cited

Cited by

  • 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures174 cited
  • 2012Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?163 cited
  • 2005Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection148 cited
  • 2005Using Trivariate Copulas to Model Sample Selection and Treatment Effects143 cited
  • 2005Measurement of aggregate risk with copulas140 cited
  • 2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates120 cited
  • 2014Modeling loss data using composite models119 cited
  • 2007On the construction of copulas and quasi-copulas with given diagonal sections118 cited
  • 2007Fully Nested 3-Copula: Procedure and Application on Hydrological Data114 cited
  • 2005A kolmogorov-smirnov type test for positive quadrant dependence107 cited
  • 2011Fast large-sample goodness-of-fit tests for copulas101 cited
  • 2017Probit transformation for nonparametric kernel estimation of the copula density100 cited

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  • 2011A goodness-of-fit test for bivariate extreme-value copulas97 cited
  • 2006Portfolio optimization when asset returns have the Gaussian mixture distribution85 cited
  • 2008Estimating copula densities through wavelets83 cited
  • 2013TAILS OF COPULAS83 cited