메뉴 건너뛰기




Volumn 34, Issue 2, 2004, Pages 333-360

Modeling and Generating Dependent Risk Processes for IRM and DFA

Author keywords

[No Author keywords available]

Indexed keywords


EID: 85011454439     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S0515036100013726     Document Type: Article
Times cited : (33)

References (30)
  • 2
    • 33846843252 scopus 로고    scopus 로고
    • The ART of dependence modelling: the latest advances in correlation analysis
    • In: Lane, M. (ed.), Risk Books, London
    • Blum, P., Dias, A. and Embrechts, P. (2002) The ART of dependence modelling: the latest advances in correlation analysis. In: Lane, M. (ed.): Alternative Risk Strategies, Risk Books, London.
    • (2002) Alternative Risk Strategies
    • Blum, P.1    Dias, A.2    Embrechts, P.3
  • 5
    • 0001259647 scopus 로고
    • Multivariate point processes. Proc. 6th Berkeley Sympos
    • University of California, 1970
    • Cox, D.R. and Lewis, P.A.W. (1972) Multivariate point processes. Proc. 6th Berkeley Sympos. Math. Statist. Probab., 3, 401–448, University of California, 1970.
    • (1972) Math. Statist. Probab. , vol.3 , pp. 401-448
    • Cox, D.R.1    Lewis, P.A.W.2
  • 8
    • 0002101229 scopus 로고    scopus 로고
    • Correlation and dependence in risk management: properties and pitfalls
    • In: Dempster, M.A.H. (ed.), Cambridge Univ. Press, Cambridge
    • Embrechts, P., McNeil, A.J. and Straumann, D. (2002) Correlation and dependence in risk management: properties and pitfalls. In: Dempster, M.A.H. (ed.): Risk Management: Value at Risk and Beyond. Cambridge Univ. Press, Cambridge.
    • (2002) Risk Management: Value at Risk and Beyond
    • Embrechts, P.1    McNeil, A.J.2    Straumann, D.3
  • 9
    • 0003585085 scopus 로고
    • Linear Programming: Methods and Applications
    • McGraw-Hill Book Company and Kogakusha Company, Ltd., Tokyo, 3rd ed
    • Gass, S.I. (1969) Linear Programming: Methods and Applications. McGraw-Hill Book Company and Kogakusha Company, Ltd., Tokyo, 3rd ed.
    • (1969)
    • Gass, S.I.1
  • 10
    • 84990532158 scopus 로고
    • Aspects of correlation in bivariate Poisson distributions and processes
    • Griffiths, R.C., Milne, R.K. and Wood, R. (1979) Aspects of correlation in bivariate Poisson distributions and processes. Australian Journal of Statistics. 21(3), 238–255.
    • (1979) Australian Journal of Statistics , vol.21 , Issue.3 , pp. 238-255
    • Griffiths, R.C.1    Milne, R.K.2    Wood, R.3
  • 12
    • 0001724641 scopus 로고
    • On simple linear programming problems
    • In: Klee (ed.), Providence, R.I., Proc. Symp. Pure Math.
    • Hoffman, A.J. (1963) On simple linear programming problems. In: Klee (ed.): Convexity, vol. 7, 317–327, Providence, R.I., Proc. Symp. Pure Math.
    • (1963) Convexity , vol.7 , pp. 317-327
    • Hoffman, A.J.1
  • 13
    • 0003792072 scopus 로고    scopus 로고
    • Multivariate Models and Dependence Concepts
    • Chapman & Hall, London
    • Joe, H. (1997) Multivariate Models and Dependence Concepts. Chapman & Hall, London.
    • (1997)
    • Joe, H.1
  • 14
    • 0004284435 scopus 로고    scopus 로고
    • Discrete Multivariate Distributions
    • Wiley, N.Y
    • Johnson, N.L., Kotz, S. and Balakrishnan, N. (1997) Discrete Multivariate Distributions. Wiley, N.Y.
    • (1997)
    • Johnson, N.L.1    Kotz, S.2    Balakrishnan, N.3
  • 15
    • 0346716752 scopus 로고    scopus 로고
    • Caesar preprint 021, Center of Advanced European Studies and Research, Bonn, Germany.
    • Junker, M. and May, A. (2002) Measurement of aggregate risk with copulas. Caesar preprint 021, Center of Advanced European Studies and Research, Bonn, Germany.
    • (2002) Measurement of aggregate risk with copulas
    • Junker, M.1    May, A.2
  • 19
    • 0002388693 scopus 로고    scopus 로고
    • Properties and applications of the Sarmanov family of bivariate distributions
    • Lee, M.-L.T. (1996) Properties and applications of the Sarmanov family of bivariate distributions. Communications in Statistics – Theory and Methods. 25(6), 1207–1222.
    • (1996) Communications in Statistics – Theory and Methods , vol.25 , Issue.6 , pp. 1207-1222
    • Lee, M.-L.T.1
  • 20
    • 0038707844 scopus 로고    scopus 로고
    • Correlation and Dependence. Imp
    • College Press, London.
    • Mari, D.D. and Kotz, S. (2001) Correlation and Dependence. Imp. College Press, London.
    • (2001)
    • Mari, D.D.1    Kotz, S.2
  • 21
    • 85011531647 scopus 로고    scopus 로고
    • Modelling and comparing dependencies in multivariate risk portfolios
    • Müller, A. and Bäuerle, N. (1998) Modelling and comparing dependencies in multivariate risk portfolios. ASTIN Bulletin. 28(1), 59–76.
    • (1998) ASTIN Bulletin , vol.28 , Issue.1 , pp. 59-76
    • Müller, A.1    Bäuerle, N.2
  • 22
    • 0041002452 scopus 로고
    • Discrete bivariate distributions with given marginals and correlation
    • Nelsen, R.B. (1987) Discrete bivariate distributions with given marginals and correlation. Communications in Statistics – Simulation. 16(1), 199–208.
    • (1987) Communications in Statistics – Simulation , vol.16 , Issue.1 , pp. 199-208
    • Nelsen, R.B.1
  • 24
    • 37349002262 scopus 로고    scopus 로고
    • Dependence of Non-Continuous Random Variables
    • Ph.D. Thesis, University of Oldenburg
    • Neslehova, J. (2004) Dependence of Non-Continuous Random Variables. Ph.D. Thesis, University of Oldenburg.
    • (2004)
    • Neslehova, J.1
  • 25
    • 0004284243 scopus 로고
    • A Course on Point Processes
    • Springer, N.Y.
    • Reiss, R.-D. (1993) A Course on Point Processes. Springer, N.Y.
    • (1993)
    • Reiss, R.-D.1
  • 26
    • 34548173730 scopus 로고    scopus 로고
    • Bayesian analysis for the superposition of two dependent nonhomogeneous Poisson processes
    • Rodrigues, J., Cid, J.E.R. and Achcar, J.A. (2002) Bayesian analysis for the superposition of two dependent nonhomogeneous Poisson processes. Communications in Statistics – Theory and Methods. 31(9), 1467–1478.
    • (2002) Communications in Statistics – Theory and Methods , vol.31 , Issue.9 , pp. 1467-1478
    • Rodrigues, J.1    Cid, J.E.R.2    Achcar, J.A.3
  • 28
    • 0010078599 scopus 로고    scopus 로고
    • Mass Transportation Problems
    • Springer, N.Y.
    • Rachev, S.T. and Rüschendorf, L. (1998) Mass Transportation Problems. Volume I: Theory. Springer, N.Y.
    • (1998) Theory , vol.1
    • Rachev, S.T.1    Rüschendorf, L.2
  • 29
    • 0010078599 scopus 로고    scopus 로고
    • Mass Transportation Problems
    • Springer, N.Y.
    • Rachev, S.T. and Rüschendorf, L. (1998) Mass Transportation Problems. Volume II: Applications. Springer, N.Y.
    • (1998) Applications , vol.2
    • Rachev, S.T.1    Rüschendorf, L.2
  • 30
    • 84945599370 scopus 로고
    • On the multivariate Poisson distribution
    • Teicher, H. (1954) On the multivariate Poisson distribution. Skandinavisk Aktuarietidskrift. 37, 1–9.
    • (1954) Skandinavisk Aktuarietidskrift , vol.37 , pp. 1-9
    • Teicher, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.