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Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity

JOURNAL ARTICLE published November 2013 in Insurance: Mathematics and Economics

Research funded by Ministerio de Ciencia e Innovación (Spain) (MTM2011-22394)

Authors: Fabrizio Durante | Juan Fernández Sánchez | Carlo Sempi

https://doi.org/10.1016/j.insmatheco.2013.10.010 Actions

A class of multivariate copulas with bivariate Fréchet marginal copulas

JOURNAL ARTICLE published August 2009 in Insurance: Mathematics and Economics

Authors: Jingping Yang | Yongcheng Qi | Ruodu Wang

https://doi.org/10.1016/j.insmatheco.2009.05.007 Actions

Tail dependence for multivariate t -copulas and its monotonicity

JOURNAL ARTICLE published April 2008 in Insurance: Mathematics and Economics

Authors: Yin Chan | Haijun Li

https://doi.org/10.1016/j.insmatheco.2007.08.008 Actions

Hierarchical Archimedean copulas through multivariate compound distributions

JOURNAL ARTICLE published September 2017 in Insurance: Mathematics and Economics

Research funded by Natural Sciences and Engineering Research Council of Canada (054993,053934) | Chaire en actuariat de l’Université Laval (FO502323)

Authors: Hélène Cossette | Simon-Pierre Gadoury | Étienne Marceau | Itre Mtalai

https://doi.org/10.1016/j.insmatheco.2017.06.001 Actions

Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

JOURNAL ARTICLE published March 2011 in Insurance: Mathematics and Economics

Authors: Geon Ho Choe | Hyun Jin Jang

https://doi.org/10.1016/j.insmatheco.2010.10.006 Actions

On the invariant properties of notions of positive dependence and copulas under increasing transformations

JOURNAL ARTICLE published January 2012 in Insurance: Mathematics and Economics

Authors: Jun Cai | Wei Wei

https://doi.org/10.1016/j.insmatheco.2011.10.003 Actions

Multivariate Modelling Using Copulas

BOOK CHAPTER published 2018 in Bayesian Claims Reserving Methods in Non-life Insurance with Stan

Authors: Guangyuan Gao

https://doi.org/10.1007/978-981-13-3609-6_6 Actions

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

JOURNAL ARTICLE published July 2017 in Insurance: Mathematics and Economics

Research funded by Natural Sciences and Engineering Research Council (NSERC) of Canada (RGPIN-2016-03975) | National Science Foundation of China (71671176,11371340)

Authors: Jun Cai | Ying Wang | Tiantian Mao

https://doi.org/10.1016/j.insmatheco.2017.05.004 Actions

An order of asymmetry in copulas, and implications for risk management

JOURNAL ARTICLE published May 2016 in Insurance: Mathematics and Economics

Authors: Karl Friedrich Siburg | Katharina Stehling | Pavel A. Stoimenov | Gregor N.F. Weiß

https://doi.org/10.1016/j.insmatheco.2016.03.008 Actions

Asymptotics of multivariate conditional risk measures for Gaussian risks

JOURNAL ARTICLE published May 2019 in Insurance: Mathematics and Economics

Research funded by National Natural Science Foundation of China (11604375)

Authors: Chengxiu Ling

https://doi.org/10.1016/j.insmatheco.2019.03.003 Actions

Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution

PROCEEDINGS ARTICLE published November 2018 in Innovations in Insurance, Risk- and Asset Management

Authors: Damiano Brigo | Jan-Frederik Mai | Matthias Scherer | Henrik Sloot

https://doi.org/10.1142/9789813272569_0003 Actions

Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory

JOURNAL ARTICLE published July 2013 in Insurance: Mathematics and Economics

Research funded by French National Research Agency (ANR) (ANR-08BLAN-0314-01)

Authors: Elena Di Bernardino | Didier Rullière

https://doi.org/10.1016/j.insmatheco.2013.05.001 Actions

Stochastic orders and multivariate measures of risk contagion

JOURNAL ARTICLE published January 2021 in Insurance: Mathematics and Economics

Authors: P. Ortega-Jiménez | M.A. Sordo | A. Suárez-Llorens

https://doi.org/10.1016/j.insmatheco.2020.11.008 Actions

Risk Measures and Dependence Modeling

BOOK CHAPTER published 2013 in Handbook of Insurance

Authors: Paul Embrechts | Marius Hofert

https://doi.org/10.1007/978-1-4614-0155-1_6 Actions

Multivariate density estimation using dimension reducing information and tail flattening transformations

JOURNAL ARTICLE published January 2011 in Insurance: Mathematics and Economics

Authors: Tine Buch-Kromann | Montserrat Guillén | Oliver Linton | Jens Perch Nielsen

https://doi.org/10.1016/j.insmatheco.2010.10.002 Actions

Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models

JOURNAL ARTICLE published July 2020 in Insurance: Mathematics and Economics

Research funded by Israel Science Foundation (1686/17) | National Natural Science Foundation of China (11971506)

Authors: Tomer Shushi | Jing Yao

https://doi.org/10.1016/j.insmatheco.2020.04.014 Actions

A multivariate extension of the increasing convex order to compare risks

JOURNAL ARTICLE published May 2016 in Insurance: Mathematics and Economics

Research funded by Ministerio de Economía y Competitividad (Spain) (MTM2014-57559-P)

Authors: Miguel A. Sordo

https://doi.org/10.1016/j.insmatheco.2016.03.011 Actions

Higher-Order Risk Attitudes

BOOK CHAPTER published 2013 in Handbook of Insurance

Authors: Louis Eeckhoudt | Harris Schlesinger

https://doi.org/10.1007/978-1-4614-0155-1_2 Actions

Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions

JOURNAL ARTICLE published May 2019 in Insurance: Mathematics and Economics

Research funded by National Research Foundation of Korea (NRF-2015R1A1A1A05027336)

Authors: Joseph H.T. Kim | So-Yeun Kim

https://doi.org/10.1016/j.insmatheco.2019.02.010 Actions

Extremes and products of multivariate AC-product risks

JOURNAL ARTICLE published March 2013 in Insurance: Mathematics and Economics

Authors: Yang Yang | Enkelejd Hashorva

https://doi.org/10.1016/j.insmatheco.2013.01.005 Actions
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