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Modeling and Generating Dependent Risk Processes for IRM and DFA
15 references·4 citing·30 second hop
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this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1998Mass Transportation Problems556 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 2001Correlation and Dependence456 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
  • 2002Risk Management: Value at Risk and Beyond338 cited
  • 1999Correlation: Pitfalls and Alternatives309 cited
  • 2000Extremes and integrated risk management187 cited
  • 2005Measurement of aggregate risk with copulas140 cited
  • 1998Modeling and Comparing Dependencies in Multivariate Risk Portfolios113 cited
  • 1954On the multivariate poisson distribution104 cited
  • 1999Mass Transportation Problems: Vol. I: Theory78 cited
  • 2002Alternative Risk Strategies77 cited

Cited by

  • 2009Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis48 cited

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  • 2005Multivariate Counting Processes: Copulas and Beyond38 cited
  • 2018Modeling, simulation and inference for multivariate time series of counts using trawl processes19 cited
  • 2005Copula-Based Multivariate Models with Applications to Risk Management and Insurance19 cited