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

K. Müller ; W.-D. Richter

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The Polish Digital Mathematics Library
On the control of the difference between two Brownian motions: an application to energy markets modeling

Thomas Deschatre

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The Polish Digital Mathematics Library
A Biconvex Form for Copulas

Sebastian Fuchs

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The Polish Digital Mathematics Library
New copulas based on general partitions-of-unity and their applications to risk management

Dietmar Pfeifer ; Hervé Awoumlac Tsatedem ; Andreas Mändle ; Côme Girschig

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The Polish Digital Mathematics Library
Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4}

K. Müller ; W.-D. Richter

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Global correlation and uncertainty accounting

Roger M. Cooke ; Sassan Saatchi ; Stephen Hagen

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The Polish Digital Mathematics Library
On the control of the difference between two Brownian motions: a dynamic copula approach

Thomas Deschatre

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Joint weak hazard rate order under non-symmetric copulas

Franco Pellerey ; Fabio Spizzichino

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Bregman superquantiles. Estimation methods and applications

T. Labopin-Richard ; F. Gamboa ; A. Garivier ; B. Iooss

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Distributions with given marginals: the beginnings

Fabrizio Durante ; Giovanni Puccetti ; Matthias Scherer ; Steven Vanduffel

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Copula–Induced Measures of Concordance

Sebastian Fuchs

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Baire category results for quasi–copulas

Fabrizio Durante ; Juan Fernández-Sánchez ; Wolfgang Trutschnig

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Multivariate measures of concordance for copulas and their marginals

M. D. Taylor

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A proximity based macro stress testing framework

Boris Waelchli

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The Polish Digital Mathematics Library
Stat Trek. An interview with Christian Genest

Fabrizio Durante ; Giovanni Puccetti ; Matthias Scherer ; Steven Vanduffel

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The Polish Digital Mathematics Library
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form

Elena Di Bernardino ; Didier Rullière

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Lévy copulae for financial returns

Ostap Okhrin

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Robustness regions for measures of risk aggregation

Silvana M. Pesenti ; Pietro Millossovich ; Andreas Tsanakas

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VaR bounds for joint portfolios with dependence constraints

Giovanni Puccetti ; Ludger Rüschendorf ; Dennis Manko

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

Pierre Devolder ; Adrien Lebègue

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

Guojun Gan ; Emiliano A. Valdez

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Bounds on integrals with respect to multivariate copulas

Michael Preischl

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The Polish Digital Mathematics Library