Dependence Modeling

2014 - 2025

Current editor(s): Giovanni Puccetti

From De Gruyter
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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, 2014

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