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On a bivariate copula with both upper and lower full-range tail dependence

JOURNAL ARTICLE published March 2017 in Insurance: Mathematics and Economics

Authors: Lei Hua

https://doi.org/10.1016/j.insmatheco.2017.01.003 Actions

Tail dependence of the Gaussian copula revisited

JOURNAL ARTICLE published July 2016 in Insurance: Mathematics and Economics

Authors: Edward Furman | Alexey Kuznetsov | Jianxi Su | Ričardas Zitikis

https://doi.org/10.1016/j.insmatheco.2016.04.009 Actions

Tail dependence and heavy tailedness in extreme risks

JOURNAL ARTICLE published July 2021 in Insurance: Mathematics and Economics

Authors: Liuyan Ji | Ken Seng Tan | Fan Yang

https://doi.org/10.1016/j.insmatheco.2021.03.016 Actions

Distorted Mix Method for constructing copulas with tail dependence

JOURNAL ARTICLE published July 2014 in Insurance: Mathematics and Economics

Research funded by Research Grants Council of the Hong Kong Special Administrative Region (HKU 7057/13P) | National Natural Science Foundation of China (11131002,11271033)

Authors: Lujun Li | K.C. Yuen | Jingping Yang

https://doi.org/10.1016/j.insmatheco.2014.05.002 Actions

Stable tail dependence functions – some basic properties

JOURNAL ARTICLE published 26 July 2022 in Dependence Modeling

Authors: Paul Ressel

https://doi.org/10.1515/demo-2022-0114 Actions

Comparison of Estimators of Tail Dependence Coefficient

PROCEEDINGS ARTICLE published November 2010 in 2010 International Conference on E-Product E-Service and E-Entertainment

Authors: Shide Ou | Danhui Yi

https://doi.org/10.1109/iceee.2010.5660326 Actions

Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence

JOURNAL ARTICLE published December 2005 in Insurance: Mathematics and Economics

Authors: Guy Jumarie

https://doi.org/10.1016/j.insmatheco.2005.06.003 Actions

Estimating the tail dependence function of an elliptical distribution

JOURNAL ARTICLE published 1 February 2007 in Bernoulli

Authors: Claudia Klüppelberg | Gabriel Kuhn | Liang Peng

https://doi.org/10.3150/07-bej6047 Actions

Pitfalls and merits of cointegration-based mortality models

JOURNAL ARTICLE published January 2020 in Insurance: Mathematics and Economics

Authors: Søren F. Jarner | Snorre Jallbjørn

https://doi.org/10.1016/j.insmatheco.2019.10.005 Actions

Estimating and backtesting risk under heavy tails

JOURNAL ARTICLE published May 2022 in Insurance: Mathematics and Economics

Research funded by Deutsche Forschungsgemeinschaft (SCHM 2160/13-1) | Narodowe Centrum Nauki (2016/23/B/ST1/00479)

Authors: Marcin Pitera | Thorsten Schmidt

https://doi.org/10.1016/j.insmatheco.2022.01.006 Actions

Estimating the adjustment coefficient in an ARMA(p, q) risk model

JOURNAL ARTICLE published October 1995 in Insurance: Mathematics and Economics

Authors: Ralf Christ | Josef Steinebach

https://doi.org/10.1016/0167-6687(95)00017-m Actions

Corrigendum to “Incorporating big microdata in life table construction: A hypothesis-free estimator” [Insurance Math. Econom. 88 (2019) 138–150]

JOURNAL ARTICLE published November 2021 in Insurance: Mathematics and Economics

Authors: Josep Lledó | Jose M. Pavía | Francisco G. Morillas-Jurado

https://doi.org/10.1016/j.insmatheco.2021.02.003 Actions

RECURSIVE DIFFERENCING FOR ESTIMATING SEMIPARAMETRIC MODELS

JOURNAL ARTICLE published February 2024 in Econometric Theory

Authors: Chan Shen | Roger Klein

https://doi.org/10.1017/s0266466622000329 Actions

Tail dependence coefficient of generalized hyperbolic distribution

JOURNAL ARTICLE published 2017 in Journal of Statistical Theory and Applications

Authors: Mohalilou Aleiyouka | Alexandre Berred | Mohammad Ahsanullah

https://doi.org/10.2991/jsta.2017.16.3.9 Actions

Simple and Ordinary Multigaussian Kriging for Estimating Recoverable Reserves

JOURNAL ARTICLE published April 2005 in Mathematical Geology

Authors: Xavier Emery

https://doi.org/10.1007/s11004-005-1560-6 Actions

Estimating the coefficient of asymptotic tail independence

JOURNAL ARTICLE published 1 July 2016 in Advances in Methodology and Statistics

Authors: Marta Ferreira

https://doi.org/10.51936/qkml2922 Actions

Estimating Dependence Among Lumber Strength Properties With Copula Models

JOURNAL ARTICLE published 15 February 2021 in Frontiers in Applied Mathematics and Statistics

Authors: Yanling Cai | Harry Joe | Shenyi Pan

https://doi.org/10.3389/fams.2020.578614 Actions

The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution

JOURNAL ARTICLE published June 2012 in Extremes

Authors: Stephan Schlueter | Matthias Fischer

https://doi.org/10.1007/s10687-011-0132-z Actions

Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series

JOURNAL ARTICLE published 16 June 2020 in Sustainability

Research funded by Fundamental Research Funds for the Central Universities (2020YJS058)

Authors: Chao Xu | Jinchuan Ke | Xiaojun Zhao | Xiaofang Zhao

https://doi.org/10.3390/su12124908 Actions

Estimating GFR from serum creatinine concentration: Pitfalls of GFR-estimating equations

JOURNAL ARTICLE published March 2005 in American Journal of Kidney Diseases

Authors: Rajiv Agarwal

https://doi.org/10.1053/j.ajkd.2005.01.010 Actions
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