Dependence Modeling

2013 - 2025

Current editor(s): Giovanni Puccetti

From De Gruyter
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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

Volume 4, issue 1, 2016

Global correlation and uncertainty accounting pp. 6

Roger Cooke, Saatchi Sassan and Hagen Stephen

Baire category results for quasi–copulas pp. 9

Durante Fabrizio, Fernández-Sánchez Juan and Trutschnig Wolfgang

Copula–Induced Measures of Concordance pp. 10

Fuchs Sebastian

Bounds on integrals with respect to multivariate copulas pp. 11

Preischl Michael

Multivariate measures of concordance for copulas and their marginals pp. 13

Taylor M. D.

A Biconvex Form for Copulas pp. 13

Fuchs Sebastian

Stat Trek. An interview with Christian Genest pp. 14

Durante Fabrizio, Giovanni Puccetti, Scherer Matthias and Steven Vanduffel

Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio pp. 14

Durante Fabrizio, Giovanni Puccetti, Scherer Matthias and Steven Vanduffel

VaR bounds for joint portfolios with dependence constraints pp. 14

Giovanni Puccetti, Rüschendorf Ludger and Manko Dennis

Joint weak hazard rate order under non-symmetric copulas pp. 15

Pellerey Franco and Spizzichino Fabio

New copulas based on general partitions-of-unity and their applications to risk management pp. 18

Pfeifer Dietmar, Tsatedem Hervé Awoumlac, Mändle Andreas and Girschig Côme

Lévy copulae for financial returns pp. 18

Ostap Okhrin

An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios pp. 19

Gan Guojun and Valdez Emiliano A.

On the control of the difference between two Brownian motions: a dynamic copula approach pp. 20

Deschatre Thomas

On an asymmetric extension of multivariate Archimedean copulas based on quadratic form pp. 20

Di Bernardino Elena and Didier Rulliere

Robustness regions for measures of risk aggregation pp. 20

Pesenti Silvana M., Pietro Millossovich and Tsanakas Andreas

Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances pp. 22

Devolder Pierre and Lebègue Adrien

On the control of the difference between two Brownian motions: an application to energy markets modeling pp. 23

Deschatre Thomas

A proximity based macro stress testing framework pp. 26

Waelchli Boris

Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4} pp. 29

Müller K. and Richter W.-D.

Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables pp. 33

Müller K. and Richter W.-D.

Bregman superquantiles. Estimation methods and applications pp. 33

Labopin-Richard T., Gamboa F., Garivier A. and Iooss B.