Dependence Modeling

2013 - 2025

Current editor(s): Giovanni Puccetti

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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

Volume 6, issue 1, 2018

Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family pp. 1-18

Cooray Kahadawala

Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas pp. 19-46

Jin Xisong and Thorsten Lehnert

Maximum asymmetry of copulas revisited pp. 47-62

Kamnitui Noppadon, Fernández-Sánchez Juan and Trutschnig Wolfgang

Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios? pp. 63-87

Hüttner Amelie, Mai Jan-Frederik and Mineo Stefano

Domination of sample maxima and related extremal dependence measures pp. 88-101

Hashorva Enkelejd

Risk bounds with additional information on functionals of the risk vector pp. 102-113

Rüschendorf L.

Copulas, credit portfolios, and the broken heart syndrome pp. 114-130

Giovanni Puccetti and Scherer Matthias

A note on bivariate Archimax copulas pp. 178-182

Durante Fabrizio, Sánchez Juan Fernández and Sempi Carlo

The strong Fatou property of risk measures pp. 183-196

Chen Shengzhong, Gao Niushan and Xanthos Foivos

Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship pp. 197-227

Kadiri Nadia, Rabhi Abbes and Bouchentouf Amina Angelika

Law invariant risk measures and information divergences pp. 228-258

Lacker Daniel

Ordering risk bounds in factor models pp. 259-287

Ansari Jonathan and Rüschendorf Ludger

A Journey Beyond The Gaussian World: An interview with Harry Joe pp. 288-297

Genest Christian and Giovanni Puccetti

Transformation of a copula using the associated co-copula pp. 298-308

Girard Stéphane

The Default Risk Charge approach to regulatory risk measurement processes pp. 309-330

Bonollo Michele, Persio Luca Di and Prezioso Luca

Testing the symmetry of a dependence structure with a characteristic function pp. 331-355

Bahraoui Tarik, Bouezmarni Taoufik and Quessy Jean-François

A multivariate version of Williamson’s theorem, ℓ-symmetric survival functions, and generalized Archimedean copulas pp. 356-368

Ressel Paul

A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas pp. 369-376

Trutschnig Wolfgang and Mroz Thomas

Predictive analytics of insurance claims using multivariate decision trees pp. 377-407

Quan Zhiyu and Valdez Emiliano A.

Volume 5, issue 1, 2017

On Conditional Value at Risk (CoVaR) for tail-dependent copulas pp. 1-19

Jaworski Piotr

Multivariate extensions of expectiles risk measures pp. 20-44

Maume-Deschamps Véronique, Didier Rulliere and Said Khalil

Characterizations of bivariate conic, extreme value, and Archimax copulas pp. 45-58

Saminger-Platz Susanne, José De Jesús Arias-García, Mesiar Radko and Klement Erich Peter

VaR bounds in models with partial dependence information on subgroups pp. 59-74

Rüschendorf Ludger and Witting Julian

Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas pp. 75-87

Górecki J., Hofert M. and Holeňa M.

My introduction to copulas: An interview with Roger Nelsen pp. 88-98

Durante Fabrizio, Giovanni Puccetti, Scherer Matthias and Steven Vanduffel

Nonparametric estimation of simplified vine copula models: comparison of methods pp. 99-120

Nagler Thomas, Schellhase Christian and Czado Claudia

Inference for copula modeling of discrete data: a cautionary tale and some facts pp. 121-132

Faugeras Olivier P.

On Truncation Invariant Copulas and their Estimation pp. 133-144

Jaworski Piotr

On capital allocation for stochastic arrangement increasing actuarial risks pp. 145-153

Pan Xiaoqing and Li Xiaohu

About tests of the “simplifying” assumption for conditional copulas pp. 154-197

Derumigny Alexis and Fermanian Jean-David

Copula-Based Dependence Measures For Piecewise Monotonicity pp. 198-220

Liebscher Eckhard

Exact distributions of order statistics from ln,p-symmetric sample distributions pp. 221-245

Müller K. and Richter W.-D.

New copulas based on general partitions-of-unity and their applications to risk management (part II) pp. 246-255

Pfeifer Dietmar, Mändle Andreas and Ragulina Olena

The Vine Philosopher: An interview with Roger Cooke pp. 256-267

Durante Fabrizio, Giovanni Puccetti, Scherer Matthias and Steven Vanduffel

A joint regression modeling framework for analyzing bivariate binary data in R pp. 268-294

Marra Giampiero and Radice Rosalba

A two-component copula with links to insurance pp. 295-303

Ismail S., Yu G., Reinert G. and Maynard T.

CMPH: a multivariate phase-type aggregate loss distribution pp. 304-315

Ren Jiandong and Zitikis Ricardas

Measuring herd behavior: properties and pitfalls pp. 316-329

Lee Woojoo and Ahn Jae Youn

A simple non-parametric goodness-of-fit test for elliptical copulas pp. 330-353

Jaser Miriam, Haug Stephan and Min Aleksey

Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets pp. 354-374

Gan Guojun and Valdez Emiliano A.

Dependent defaults and losses with factor copula models pp. 375-399

Ackerer Damien and Vatter Thibault