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A multivariate dependence measure for aggregating risks
14 references·2 citing·38 second hop
A multivariate dependence measure for aggregating risks (2013)A multivariate dependence measure for agg…The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets (2012)The Herd Behavior Index: A ne…Actuarial Theory for Dependent Risks: Measures, Orders, and Models (2007)Actuarial Theory for Dependen…A multivariate version of Gini's rank association coefficient (2007)A multivariate version of Gin…Multivariate measures of concordance (2006)Multivariate measures of conc…Multivariate extensions of Spearman's rho and related statistics (2006)Multivariate extensions of Sp…Encyclopedia of Actuarial Science (2006)Encyclopedia of Actuarial Sci…Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Actuarial Theory for Dependen…Risk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Evaluating Correlation with Proper Bounds (1992)Evaluating Correlation with P…Recursive Evaluation of a Family of Compound Distributions (1981)Recursive Evaluation of a Fam…N-dimensional measures of dependence. (1980)N-dimensional measures of dep…On the multidimensional extension of countermonotonicity and its applications (2014)On the multidimensional exten…A framework for robust measurement of implied correlation (2014)A framework for robust measur…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Essays in the Theory of Risk-Bearing. (1972)The Pricing of Options and Corporate Liabilities (1973)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Copulas: A Personal View (2009)The Advent of Copulas in Finance (2009)Rank Correlation Methods. (1957)Rank Correlation Methods (1973)Multivariate conditional versions of Spearman's rho and related measures of tail dependence (2006)On the construction of multivariate extreme value models via copulas (2009)Extremal Dependence Concepts (2015)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing: A simplified approach (1979)Financial valuation of guaranteed minimum withdrawal benefits (2005)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)On measures of concordance (1984)Multivariate concordance (1990)Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence (2006)On Measures of Multivariate Concordance (2006)Spatial contagion between financial markets: a copula‐based approach (2009)The natural Banach space for version independent risk measures (2013)Some new notions of dependence with applications in optimal allocation problems (2014)Risk-adjusted Bowley reinsurance under distorted probabilities (2019)Networks of equities in financial markets (2004)Value-at-risk versus expected shortfall: A practical perspective (2004)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Further Results on Recursive Evaluation of Compound Distributions (1981)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Insurance Risk and Ruin (2005)Weighted premium calculation principles (2007)Weighted risk capital allocations (2008)Ripple effect quantification by supplier risk exposure assessment (2019)
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References

  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited
  • 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models498 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
  • 2006Encyclopedia of Actuarial Science258 cited
  • 2006Multivariate extensions of Spearman's rho and related statistics172 cited
  • 2007Actuarial Theory for Dependent Risks: Measures, Orders, and Models124 cited
  • 2006Multivariate measures of concordance93 cited
  • 2012The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets70 cited
  • 1980N-dimensional measures of dependence.66 cited
  • 1992Evaluating Correlation with Proper Bounds60 cited
  • 2007A multivariate version of Gini's rank association coefficient35 cited

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  • 2014On the multidimensional extension of countermonotonicity and its applications

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26 cited
  • 2014A framework for robust measurement of implied correlation25 cited