Comonotonicity - PDFSEARCH.IO - Document Search Engine

Comonotonicity
Results: 20

#	Item
1	Commutativity, Comonotonicity, and Choquet Integration of Self-adjoint Operators S. Cerreia-Vioglio? , F. Maccheroni? , M. Marinacci? , and L. Montrucchio ? Università Bocconi and IGIER and Collegio Carlo Alberto Decem Add to Reading List Source URL: carloalberto.org Language: English - Date: 2018-01-29 05:09:32
2	On the measurement of economic tail risk_final.dvi Add to Reading List Source URL: www.rmi.nus.edu.sg Language: English - Date: 2016-06-26 23:04:56 Financial risk Mathematical finance Actuarial science Expected shortfall Value at risk Risk measure Expected value Variance Spectral risk measure Comonotonicity It diffusion Beta distribution
3	Composite Bernstein Copulas Jingping Yang∗ Zhijin Chen† Fang Wang‡ Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-01-03 22:39:07 Independence Actuarial science Multivariate statistics Statistics Copula Analysis Vine copula U1 Comonotonicity
4	Detecting complete and joint mixability Giovanni Puccetti1 and Ruodu Wang2 1 2 Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2014-09-26 02:17:07 Mathematical analysis Probability Analysis Probability distributions Generalized functions Variance Distribution Comonotonicity Expected value
5	CreditRisk + Model with Dependent Risk Factors Ruodu Wang∗, Liang Peng† and Jingping Yang‡ October 6, 2014 Abstract The CreditRisk + model is widely used in industry for computing the loss of a credit portfolio. Th Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2014-10-06 11:54:54 Actuarial science Statistics Independence Probability Covariance and correlation Mathematical analysis Multivariate statistics Copula Financial risk Variance Risk Comonotonicity
6	A Class of Multivariate Copulas with Bivariate Fr´ echet Marginal Copulas Jingping Yang∗ Yongcheng Qi† Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2009-04-30 02:57:14 Independence Covariance and correlation Actuarial science Multivariate statistics Copula U1 Comonotonicity Correlation and dependence Joint probability distribution
7	Risk Aggregation with Dependence Uncertainty Carole Bernard∗, Xiao Jiang† and Ruodu Wang‡ November 2013§ Abstract Risk aggregation with dependence uncertainty refers to the sum of individual risks with Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2016-03-25 06:23:06 Actuarial science Financial risk Independence Applied mathematics Mathematical analysis Economy Mathematical finance Convex analysis Copula Coherent risk measure Convex function Comonotonicity
8	Preprint manuscript No. (will be inserted by the editor) Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures Paul Embrechts · Bin Wang · Ruodu Wang Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2014-09-24 23:39:51 Financial risk Actuarial science Mathematical finance Economy Applied mathematics Finance Expected shortfall Value at risk Coherent risk measure Comonotonicity Risk Diversification
9	Extremal Dependence Concepts Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-12-09 07:27:53 Mathematical analysis Probability Statistics Independence Multivariate statistics Probability theory Actuarial science Probability distributions Copula Comonotonicity Joint probability distribution Random variable
10	General Convex Order on Risk Aggregation Edgars Jakobsons∗, Xiaoying Han† and Ruodu Wang‡ January 19, 2015 Abstract Using a general notion of convex order, we derive general lower bounds for risk measures of aggreg Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-01-19 14:25:53 Mathematical analysis Actuarial science Financial risk Analysis Economy Coherent risk measure Convex function Risk aversion Risk Comonotonicity Distribution

UPDATE