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Dependence Modeling

2013 - 2020

Current editor(s): Giovanni Puccetti

From De Gruyter
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Volume 8, issue January, 2020

Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property pp. 1-33 Downloads
Nappo Giovanna and Spizzichino Fabio
The gentleman copulist: An interview with Carlo Sempi pp. 34-44 Downloads
Genest Christian and Scherer Matthias
Modelling with star-shaped distributions pp. 45-69 Downloads
Liebscher Eckhard and Richter Wolf-Dieter
Checkerboard copula defined by sums of random variables pp. 70-92 Downloads
Kuzmenko Viktor, Salam Romel and Uryasev Stan
Insurance applications of dependence modeling: An interview with Edward (Jed) Frees pp. 93-106 Downloads
Genest Christian and Scherer Matthias
The deFinetti representation of generalised Marshall–Olkin sequences pp. 107-118 Downloads
Sloot Henrik
Bayesian estimation of generalized partition of unity copulas pp. 119-131 Downloads
Masuhr Andreas and Trede Mark
Bivariate box plots based on quantile regression curves pp. 132-156 Downloads
Navarro Jorge
Bayesian credibility premium with GB2 copulas pp. 157-171 Downloads
Jeong Himchan and Valdez Emiliano A.

Volume 7, issue March, 2019

A simple proof of Pitman–Yor’s Chinese restaurant process from its stick-breaking representation pp. 45-52 Downloads
Lawless Caroline and Arbel Julyan

Volume 7, issue February, 2019

Volatility filtering in estimation of kurtosis (and variance) pp. 1-23 Downloads
Stanislav Anatolyev
Modelling cascading effects for systemic risk: Properties of the Freund copula pp. 24-44 Downloads
Guzmics Sándor and Pflug Georg Ch.

Volume 7, issue January, 2019

Structural change in the link between oil and the European stock market: implications for risk management pp. 53-125 Downloads
Ferreiro Javier Ojea
On the lower bound of Spearman’s footrule pp. 126-132 Downloads
Fuchs Sebastian and McCord Yann
Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo pp. 133-149 Downloads
Burda Martin and Bélisle Louis
Exponential inequalities for nonstationary Markov chains pp. 150-168 Downloads
Alquier Pierre, Doukhan Paul and Fan Xiequan
The world of vines: An interview with Claudia Czado pp. 169-180 Downloads
Genest Christian and Scherer Matthias
New copulas based on general partitions-of-unity (part III) — the continuous case pp. 181-201 Downloads
Pfeifer Dietmar, Mändle Andreas, Ragulina Olena and Girschig Côme
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case pp. 202-214 Downloads
Mai Jan-Frederik
Probability of ruin in discrete insurance risk model with dependent Pareto claims pp. 215-233 Downloads
Constantinescu Corina D., Kozubowski Tomasz J. and Qian Haoyu H.
A latent class analysis towards stability and changes in breadwinning patterns among coupled households pp. 234-246 Downloads
Fulvia Pennoni and Nakai Miki
Copulas, stable tail dependence functions, and multivariate monotonicity pp. 247-258 Downloads
Ressel Paul
On a class of norms generated by nonnegative integrable distributions pp. 259-278 Downloads
Falk Michael and Gilles Stupfler
On the asymptotic covariance of the multivariate empirical copula process pp. 279-291 Downloads
Genest Christian, Mesfioui Mhamed and Nešlehová Johanna G.
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior pp. 292-321 Downloads
Derumigny Alexis and Fermanian Jean-David
On Copula-Itô processes pp. 322-347 Downloads
Jaworski Piotr
Dependence measure for length-biased survival data using copulas pp. 348-364 Downloads
Bentoumi Rachid, Mesfioui Mhamed and Alvo Mayer
Fitting heavy-tailed mixture models with CVaR constraints pp. 365-374 Downloads
Pertaia Giorgi and Uryasev Stan
Optimal bandwidth selection for recursive Gumbel kernel density estimators pp. 375-393 Downloads
Slaoui Yousri
Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions pp. 394-417 Downloads
Ahmad Aboubacrène Ag, Deme El Hadji, Diop Aliou and Girard Stéphane

Volume 6, issue December, 2018

A Journey Beyond The Gaussian World: An interview with Harry Joe pp. 288-297 Downloads
Genest Christian and Giovanni Puccetti
Transformation Of A Copula Using The Associated Co-Copula pp. 298-308 Downloads
Girard Stéphane
The Default Risk Charge approach to regulatory risk measurement processes pp. 309-330 Downloads
Bonollo Michele, Persio Luca Di and Prezioso Luca
Testing the symmetry of a dependence structure with a characteristic function pp. 331-355 Downloads
Quessy Jean-François and Bahraoui Tarik
A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas pp. 356-368 Downloads
Ressel Paul
A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas pp. 369-376 Downloads
Trutschnig Wolfgang and Mroz Thomas
Predictive analytics of insurance claims using multivariate decision trees pp. 377-407 Downloads
Quan Zhiyu and Valdez Emiliano A.

Volume 6, issue November, 2018

Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship pp. 197-227 Downloads
Kadiri Nadia, Rabhi Abbes and Bouchentouf Amina Angelika
Law invariant risk measures and information divergences pp. 228-258 Downloads
Lacker Daniel
Ordering risk bounds in factor models pp. 259-287 Downloads
Ansari Jonathan and Rüschendorf Ludger

Volume 6, issue October, 2018

A note on bivariate Archimax copulas pp. 178-182 Downloads
Fabrizio Durante, Sánchez Juan Fernández and Sempi Carlo
The strong Fatou property of risk measures pp. 183-196 Downloads
Chen Shengzhong, Gao Niushan and Xanthos Foivos

Volume 6, issue June, 2018

Risk bounds with additional information on functionals of the risk vector pp. 102-113 Downloads
Rüschendorf L.
Copulas, credit portfolios, and the broken heart syndrome pp. 114-130 Downloads
Giovanni Puccetti and Scherer Matthias

Volume 6, issue May, 2016

Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios? pp. 63-87 Downloads
Hüttner Amelie, Mai Jan-Frederik and Mineo Stefano
Domination of sample maxima and related extremal dependence measures pp. 88-101 Downloads
Hashorva Enkelejd

Volume 6, issue February, 2018

Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family pp. 1-18 Downloads
Cooray Kahadawala
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas pp. 19-46 Downloads
Jin Xisong and Thorsten Lehnert
Maximum asymmetry of copulas revisited pp. 47-62 Downloads
Kamnitui Noppadon, Trutschnig Wolfgang and Fernández-Sánchez Juan

Volume 5, issue December, 2017

The Vine Philosopher: An interview with Roger Cooke pp. 256-267 Downloads
Fabrizio Durante, Giovanni Puccetti, Scherer Matthias and Vanduffel Steven
A joint regression modeling framework for analyzing bivariate binary data in R pp. 268-294 Downloads
Marra Giampiero and Radice Rosalba
A two-component copula with links to insurance pp. 295-303 Downloads
Ismail S., Reinert G., Yu G. and Maynard T.
CMPH: a multivariate phase-type aggregate loss distribution pp. 304-315 Downloads
Ren Jiandong and Zitikis Ricardas
Measuring herd behavior: properties and pitfalls pp. 316-329 Downloads
Lee Woojoo and Ahn Jae Youn
A simple non-parametric goodness-of-fit test for elliptical copulas pp. 330-353 Downloads
Jaser Miriam, Min Aleksey and Haug Stephan
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets pp. 354-374 Downloads
Gan Guojun and Valdez Emiliano A.
Dependent defaults and losses with factor copula models pp. 375-399 Downloads
Ackerer Damien and Vatter Thibault

Volume 5, issue October, 2017

New copulas based on general partitions-of-unity and their applications to risk management (part II) pp. 246-255 Downloads
Pfeifer Dietmar, Mändle Andreas and Ragulina Olena

Volume 5, issue August, 2017

About tests of the “simplifying” assumption for conditional copulas pp. 154-197 Downloads
Derumigny Alexis and Fermanian Jean-David
Copula-Based Dependence Measures For Piecewise Monotonicity pp. 198-220 Downloads
Liebscher Eckhard
Exact distributions of order statistics from ln,p-symmetric sample distributions pp. 221-245 Downloads
Müller K. and Richter W.-D.

Volume 5, issue January, 2017

On Conditional Value at Risk (CoVaR) for tail-dependent copulas pp. 1-19 Downloads
Jaworski Piotr
Multivariate extensions of expectiles risk measures pp. 20-44 Downloads
Maume-Deschamps Véronique, Said Khalil and Didier Rulliere
Characterizations of bivariate conic, extreme value, and Archimax copulas pp. 45-58 Downloads
Saminger-Platz Susanne, Klement Erich Peter, Arias-García José De Jesús and Mesiar Radko
VaR bounds in models with partial dependence information on subgroups pp. 59-74 Downloads
Rüschendorf Ludger and Witting Julian
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas pp. 75-87 Downloads
Górecki J., Hofert M. and Holeňa M.
My introduction to copulas: An interview with Roger Nelsen pp. 88-98 Downloads
Fabrizio Durante, Giovanni Puccetti, Scherer Matthias and Vanduffel Steven
Nonparametric estimation of simplified vine copula models: comparison of methods pp. 99-120 Downloads
Nagler Thomas, Czado Claudia and Schellhase Christian
Inference for copula modeling of discrete data: a cautionary tale and some facts pp. 121-132 Downloads
Faugeras Olivier P.
On Truncation Invariant Copulas and their Estimation pp. 133-144 Downloads
Jaworski Piotr
On capital allocation for stochastic arrangement increasing actuarial risks pp. 145-153 Downloads
Pan Xiaoqing and Li Xiaohu
Page updated 2020-10-21