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Dependence Modeling Volume 1: January

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

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Journal Article

On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators

Di Bernardino, Elena; Rullière, Didier

2013 Dependence Modeling

doi:10.2478/demo-2013-0001

AbstractWe study the impact of certain transformations within theclass of Archimedean copulas. We give some admissibilityconditions for these transformations, and define some equivalenceclasses for both transformations and generators ofArchimedean copulas. We extend the r-fold composition ofthe...
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Journal Article

Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence

Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan

2013 Dependence Modeling

doi:10.2478/demo-2013-0002

AbstractNelsen et al. [20] find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov [25] generalizes this work by giving explicit expressionsfor the best upper and lower bounds for a bivariatecopula when its values on a compact subset of...
Available

Journal Article

Are law-invariant risk functions concave on distributions?

Acciaio, Beatrice; Svindland, Gregor

2013 Dependence Modeling

doi:10.2478/demo-2013-0003

AbstractWhile it is reasonable to assume that convex combinationson the level of random variables lead to a reduction of risk(diversification effect), this is no more true on the level of distributions.In the latter case, taking convex combinations correspondsto adding a risk factor. Hence,...

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