Dependence Modeling

2013 - 2025

Current editor(s): Giovanni Puccetti

From De Gruyter
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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.

Volume 3, issue 1, 2015

Bivariate copulas, norms and non-exchangeability pp. 7

Papini Pier Luigi

Quantile of a Mixture with Application to Model Risk Assessment pp. 10

Bernard Carole and Steven Vanduffel

A theory for non-linear prediction approach in the presence of vague variables: with application to BMI monitoring pp. 12

Pourmousa R., Rezapour M. and Mashinchi M.

Building bridges between Mathematics, Insurance and Finance: An interview with Paul Embrechts pp. 12

Durante Fabrizio, Giovanni Puccetti and Scherer Matthias

Equivalent or absolutely continuous probability measures with given marginals pp. 12

Berti Patrizia, Pratelli Luca, Rigo Pietro and Spizzichino Fabio

Multivariate Markov Families of Copulas pp. 13

Overbeck Ludger and Schmidt Wolfgang M.

An analysis of the Rüschendorf transform - with a view towards Sklar’s Theorem pp. 13

Frank Oertel

A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf pp. 14

Durante Fabrizio, Giovanni Puccetti and Scherer Matthias

Measuring association via lack of co-monotonicity: the LOC index and a problem of educational assessment pp. 15

Qoyyimi Danang Teguh and Zitikis Ricardas

Dependence Measuring from Conditional Variances pp. 15

Kamnitui Noppadon, Santiwipanont Tippawan and Sumetkijakan Songkiat

Seven Proofs for the Subadditivity of Expected Shortfall pp. 15

Embrechts Paul and Wang Ruodu

Cost-efficiency in multivariate Lévy models pp. 16

Rüschendorf Ludger and Wolf Viktor

A classification method for binary predictors combining similarity measures and mixture models pp. 16

Sylla Seydou N., Girard Stéphane, Abdou Ka Diongue, Diallo Aldiouma and Sokhna Cheikh

High level quantile approximations of sums of risks pp. 18

Cuberos A., Masiello E. and Maume-Deschamps V.

On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions pp. 18

Bernhart German, Mai Jan-Frederik and Scherer Matthias

Forecasting time series with multivariate copulas pp. 24

Simard Clarence and Rémillard Bruno

On the tail dependence in bivariate hydrological frequency analysis pp. 25

Lekina Alexandre, Chebana Fateh and Ouarda Taha B. M. J.

Volume 2, issue 1, 2014

A note on the Galambos copula and its associated Bernstein function pp. 8

Mai Jan-Frederik

Solution to an open problem about a transformation on the space of copulas pp. 8

Durante Fabrizio, Fernández-Sánchez Juan and Trutschnig Wolfgang

Some New Random Effect Models for Correlated Binary Responses pp. 15

Tounkara Fodé and Rivest Louis-Paul

Copula-based dependence measures pp. 16

Liebscher Eckhard

Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology pp. 19

Dutfoy Anne, Parey Sylvie and Roche Nicolas

Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study pp. 21

Jakob Kevin and Fischer Matthias

Volume 1, issue 2013, 2013

On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators pp. 1-36

Di Bernardino Elena and Didier Rulliere

Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence pp. 37-53

Bernard Carole, Liu Yuntao, MacGillivray Niall and Zhang Jinyuan

Are law-invariant risk functions concave on distributions? pp. 54-64

Acciaio Beatrice and Svindland Gregor

Prediction of time series by statistical learning: general losses and fast rates pp. 65-93

Alquier Pierre, Li Xiaoyin and Olivier Wintenberger

Prediction of time series by statistical learning: general losses and fast rates pp. 65-93

Alquier Pierre, Li Xiaoyin and Olivier Wintenberger

Dependence of Stock Returns in Bull and Bear Markets pp. 94-110

Dobric Jadran, Frahm Gabriel and Schmid Friedrich

Dependence of Stock Returns in Bull and Bear Markets pp. 94-110

Dobric Jadran, Frahm Gabriel and Schmid Friedrich