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On Conditional Value at Risk (CoVaR) for tail-dependent copulas

Piotr Jaworski

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p. 1-19

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Multivariate extensions of expectiles risk measures

Véronique Maume-Deschamps ; Didier Rullière ; Khalil Said

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p. 20-44

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Characterizations of bivariate conic, extreme value, and Archimax copulas

Susanne Saminger-Platz ; José De Jesús Arias-García ; Radko Mesiar ; Erich Peter Klement

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p. 45-58

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VaR bounds in models with partial dependence information on subgroups

Ludger Rüschendorf ; Julian Witting

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p. 59-74

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Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

J. Górecki ; M. Hofert ; M. Holeňa

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p. 75-87

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My introduction to copulas

Fabrizio Durante ; Giovanni Puccetti ; Matthias Scherer ; Steven Vanduffel

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p. 88-98

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Nonparametric estimation of simplified vine copula models: comparison of methods

Thomas Nagler ; Christian Schellhase ; Claudia Czado

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p. 99-120

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Inference for copula modeling of discrete data: a cautionary tale and some facts

Olivier P. Faugeras

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p. 121-132

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On Truncation Invariant Copulas and their Estimation

Piotr Jaworski

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p. 133-144

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On capital allocation for stochastic arrangement increasing actuarial risks

Xiaoqing Pan ; Xiaohu Li

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p. 145-153

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About tests of the “simplifying” assumption for conditional copulas

Alexis Derumigny ; Jean-David Fermanian

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p. 154-197

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Copula-Based Dependence Measures For Piecewise Monotonicity

Eckhard Liebscher

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p. 198-220

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Exact distributions of order statistics from ln,p-symmetric sample distributions

K. Müller ; W.-D. Richter

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p. 221-245

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New copulas based on general partitions-of-unity and their applications to risk management (part II)

Dietmar Pfeifer ; Andreas Mändle ; Olena Ragulina

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p. 246-255

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The Vine Philosopher

Fabrizio Durante ; Giovanni Puccetti ; Matthias Scherer ; Steven Vanduffel

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p. 256-267

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A joint regression modeling framework for analyzing bivariate binary data in R

Giampiero Marra ; Rosalba Radice

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p. 268-294

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A two-component copula with links to insurance

S. Ismail ; G. Yu ; G. Reinert ; T. Maynard

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p. 295-303

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CMPH: a multivariate phase-type aggregate loss distribution

Jiandong Ren ; Ricardas Zitikis

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p. 304-315

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Measuring herd behavior: properties and pitfalls

Woojoo Lee ; Jae Youn Ahn

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p. 316-329

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A simple non-parametric goodness-of-fit test for elliptical copulas

Miriam Jaser ; Stephan Haug ; Aleksey Min

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p. 330-353

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Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets

Guojun Gan ; Emiliano A. Valdez

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p. 354-374

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Dependent defaults and losses with factor copula models

Damien Ackerer ; Thibault Vatter

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p. 375-399

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