Dependence Modeling

2013 - 2025

Current editor(s): Giovanni Puccetti

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Volume 8, issue 1, 2020

Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property pp. 1-33

Nappo Giovanna and Spizzichino Fabio

Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property pp. 1-33

Nappo Giovanna and Spizzichino Fabio

The gentleman copulist: An interview with Carlo Sempi pp. 34-44

Genest Christian and Scherer Matthias

The gentleman copulist: An interview with Carlo Sempi pp. 34-44

Genest Christian and Scherer Matthias

Modelling with star-shaped distributions pp. 45-69

Liebscher Eckhard and Richter Wolf-Dieter

Modelling with star-shaped distributions pp. 45-69

Liebscher Eckhard and Richter Wolf-Dieter

Checkerboard copula defined by sums of random variables pp. 70-92

Kuzmenko Viktor, Salam Romel and Uryasev Stan

Checkerboard copula defined by sums of random variables pp. 70-92

Kuzmenko Viktor, Salam Romel and Uryasev Stan

Insurance applications of dependence modeling: An interview with Edward (Jed) Frees pp. 93-106

Genest Christian and Scherer Matthias

Insurance applications of dependence modeling: An interview with Edward (Jed) Frees pp. 93-106

Genest Christian and Scherer Matthias

The deFinetti representation of generalised Marshall–Olkin sequences pp. 107-118

Sloot Henrik

The deFinetti representation of generalised Marshall–Olkin sequences pp. 107-118

Sloot Henrik

Bayesian estimation of generalized partition of unity copulas pp. 119-131

Masuhr Andreas and Trede Mark

Bayesian estimation of generalized partition of unity copulas pp. 119-131

Masuhr Andreas and Mark Trede

Bivariate box plots based on quantile regression curves pp. 132-156

Navarro Jorge

Bivariate box plots based on quantile regression curves pp. 132-156

Navarro Jorge

Bayesian credibility premium with GB2 copulas pp. 157-171

Jeong Himchan and Valdez Emiliano A.

Bayesian credibility premium with GB2 copulas pp. 157-171

Jeong Himchan and Valdez Emiliano A.

Optimizing effective numbers of tests by vine copula modeling pp. 172-185

Steffen Nico and Thorsten Dickhaus

Lorenz-generated bivariate Archimedean copulas pp. 186-209

Fontanari Andrea, Cirillo Pasquale and Cornelis Oosterlee

The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay pp. 210-220

Mai Jan-Frederik

Nonparametric relative recursive regression pp. 221-238

Slaoui Yousri and Khardani Salah

Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference pp. 239-253

Bernard Carole and Alfred Müller

Quadratic transformation of multivariate aggregation functions pp. 254-261

Boonmee Prakassawat and Tasena Santi

Erratum regarding “Optimizing effective numbers of tests by vine copula modeling” pp. 262-262

Steffen Nico and Thorsten Dickhaus

Detecting and modeling critical dependence structures between random inputs of computer models pp. 263-297

Benoumechiara Nazih, Bousquet Nicolas, Michel Bertrand and Saint-Pierre Philippe

State dependent correlations in the Vasicek default model pp. 298-329

Metzler A.

A new extreme value copula and new families of univariate distributions based on Freund’s exponential model pp. 330-360

Guzmics Sándor and Pflug Georg Ch.

Multivariate medial correlation with applications pp. 361-372

Ferreira Helena and Ferreira Marta

Two symmetric and computationally efficient Gini correlations pp. 373-395

Vanderford Courtney, Sang Yongli and Dang Xin

On quantile based co-risk measures and their estimation pp. 396-416

Fuchs Sebastian and Trutschnig Wolfgang

Copula modeling for discrete random vectors pp. 417-440

Geenens Gery

Volume 7, issue 1, 2019

Volatility filtering in estimation of kurtosis (and variance) pp. 1-23

Stanislav Anatolyev

Modelling cascading effects for systemic risk: Properties of the Freund copula pp. 24-44

Guzmics Sándor and Pflug Georg Ch.

A simple proof of Pitman–Yor’s Chinese restaurant process from its stick-breaking representation pp. 45-52

Lawless Caroline and Arbel Julyan

Structural change in the link between oil and the European stock market: implications for risk management pp. 53-125

Javier Ojea Ferreiro

On the lower bound of Spearman’s footrule pp. 126-132

Fuchs Sebastian and McCord Yann

Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo pp. 133-149

Burda Martin and Bélisle Louis

Exponential inequalities for nonstationary Markov chains pp. 150-168

Alquier Pierre, Doukhan Paul and Fan Xiequan

The world of vines: An interview with Claudia Czado pp. 169-180

Genest Christian and Scherer Matthias

New copulas based on general partitions-of-unity (part III) — the continuous case pp. 181-201

Pfeifer Dietmar, Mändle Andreas, Ragulina Olena and Girschig Côme

Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case pp. 202-214

Mai Jan-Frederik

Probability of ruin in discrete insurance risk model with dependent Pareto claims pp. 215-233

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

Fulvia Pennoni and Nakai Miki

Copulas, stable tail dependence functions, and multivariate monotonicity pp. 247-258

Ressel Paul

On a class of norms generated by nonnegative integrable distributions pp. 259-278

Falk Michael and Gilles Stupfler

On the asymptotic covariance of the multivariate empirical copula process pp. 279-291

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

Derumigny Alexis and Fermanian Jean-David

On Copula-Itô processes pp. 322-347

Jaworski Piotr

Dependence measure for length-biased survival data using copulas pp. 348-364

Bentoumi Rachid, Mesfioui Mhamed and Alvo Mayer

Fitting heavy-tailed mixture models with CVaR constraints pp. 365-374

Pertaia Giorgi and Uryasev Stan

Optimal bandwidth selection for recursive Gumbel kernel density estimators pp. 375-393

Slaoui Yousri

Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions pp. 394-417

Ahmad Aboubacrène Ag, Deme El Hadji, Diop Aliou and Girard Stéphane