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Dependence Modeling Volume 6 Issue 1

Subject Areas: Applied Mathematics; ;
Publisher: De Gruyter - de Gruyter
ISSN: 2300-2298
SJR: 10

LitStream

Journal Article

Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family

Cooray, Kahadawala

2018 Dependence Modeling

doi:10.1515/demo-2018-0001

AbstractThe family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the parameter. The main motivation for...
LitStream

Journal Article

Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas

Jin, Xisong; Lehnert, Thorsten

2018 Dependence Modeling

doi:10.1515/demo-2018-0002

AbstractPrevious research has focused on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, existing dynamic models are not easily applied to high-dimensional problems due to the curse of dimensionality. In this paper, we...
LitStream

Journal Article

Maximum asymmetry of copulas revisited

Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang

2018 Dependence Modeling

doi:10.1515/demo-2018-0003

AbstractMotivated by the nice characterization of copulas A for which d∞(A, At) is maximal as established independently by Nelsen [11] and Klement & Mesiar [7], we study maximum asymmetry with respect to the conditioning-based metric D1 going back to Trutschnig [12]. Despite the fact that D1(A,...
LitStream

Journal Article

Risk bounds with additional information on functionals of the risk vector

Rüschendorf, L.

2018 Dependence Modeling

doi:10.1515/demo-2018-0006

AbstractWe consider the problem of determining risk bounds for the Value at Risk for risk vectors X where besides the marginal distributions also information on the distribution or on the expectation of some functionals Tj(X), 1 ≤ j ≤ m, is available. In particular this formulation includes the...
LitStream

Journal Article

Copulas, credit portfolios, and the broken heart syndrome

Puccetti, Giovanni; Scherer, Matthias

2018 Dependence Modeling

doi:10.1515/demo-2018-0007
LitStream

Journal Article

A generalized class of correlated run shock models

Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza

2018 Dependence Modeling

doi:10.1515/demo-2018-0008

AbstractIn this paper, a generalized class of run shock models associated with a bivariate sequence {(Xi, Yi)}i≥1 of correlated random variables is defined and studied. For a system that is subject to shocks of random magnitudes X1, X2, ... over time, let the random variables Y1, Y2, ... denote...
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Journal Article

Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations

Fernández-Sánchez, Juan; Úbeda-Flores, Manuel

2018 Dependence Modeling

doi:10.1515/demo-2018-0009

AbstractWe review various methods for constructing bivariate copulas with given diagonal sections from seminal work to the most recent research on copulas with given diagonal and opposite diagonal sections. A survey on a generalization of copulas with given diagonal plane sections in higher...
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Journal Article

Stochastic comparisons and bounds for conditional distributions by using copula properties

Navarro, Jorge; Sordo, Miguel A.

2018 Dependence Modeling

doi:10.1515/demo-2018-0010

AbstractWe prove that different conditional distributions can be represented as distorted distributions. These representations are used to obtain stochastic comparisons and bounds for them based on properties of the underlying copula. These properties can be used to explain the meaning of...
LitStream

Journal Article

A note on bivariate Archimax copulas

Durante, Fabrizio; Sánchez, Juan Fernández; Sempi, Carlo

2018 Dependence Modeling

doi:10.1515/demo-2018-0011

AbstractWe present an analytical proof of the characterisation of bivariate Archimax copulas in terms of the properties of their generating functions.
LitStream

Journal Article

The strong Fatou property of risk measures

Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos

2018 Dependence Modeling

doi:10.1515/demo-2018-0012

AbstractIn this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property,whichwas introduced in [19], seems to be most suitable to ensure nice dual representations of risk measures. Our main result asserts that every...

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