Related papers: Impact of dependence on some multivariate risk ind…
Cardiovascular diseases are major causes of mortality globally. They often co-occur and are interrelated, leading to partial-order relationships among their onset times. However, these onset times are subject to informative censoring due to…
This article proposes copula-based dependence quantification between multiple groups of random variables of possibly different sizes via the family of $Phi$-divergences. An axiomatic framework for this purpose is provided, after which we…
In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of…
This paper introduces a new class of Cox models for dependent bivariate data. The impact of the covariate on the dependence of the variables is captured through the modification of their copula. Various classes of well known copulas are…
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a…
We introduce a novel perspective by linking ordered probabilistic choice to copula theory, a mathematical framework for modeling dependencies in multivariate distributions. Each representation of ordered probabilistic choice behavior can be…
In this paper, we study capital allocation for dynamic risk measures, with an axiomatic approach but also by exploiting the relation between risk measures and BSDEs. Although there is a wide literature on capital allocation rules in a…
In this paper, we revisit the notion of partial copula, originally introduced to test conditional independence, highlighting its capability to represent the dependence between two random variables after removing their dependence with a…
In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product of given one-dimensional marginal distributions. The…
The mean-variance portfolio model, based on the risk-return trade-off for optimal asset allocation, remains foundational in portfolio optimization. However, its reliance on restrictive assumptions about asset return distributions limits its…
Distribution regression seeks to estimate the conditional distribution of a multivariate response given a continuous covariate. This approach offers a more complete characterization of dependence than traditional regression methods.…
We consider the optimal experimental design problem of allocating subjects to treatment or control when subjects participate in multiple, separate controlled experiments within a short time-frame and subject covariate information is…
Conditional copula models allow dependence structures to vary with observed covariates while preserving a separation between marginal behavior and association. We study the uniform asymptotic behavior of kernel-weighted local likelihood…
This work develops effective distributed strategies for the solution of constrained multi-agent stochastic optimization problems with coupled parameters across the agents. In this formulation, each agent is influenced by only a subset of…
Handling highly dependent data is crucial in clinical trials, particularly in fields related to ophthalmology. Incorrectly specifying the dependency structure can lead to biased inferences. Traditionally, models rely on three fixed…
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…
Copula models are flexible tools to represent complex structures of dependence for multivariate random variables. According to Sklar's theorem (Sklar, 1959), any d-dimensional absolutely continuous density can be uniquely represented as the…
Value-at-Risk and its conditional allegory, which takes into account the available information about the economic environment, form the centrepiece of the Basel framework for the evaluation of market risk in the banking sector. In this…
We establish a connection between dependence structures and subclasses of distortion riskmetrics under which the latter are additive. A new notion of positive dependence, called partial comonotonicity, is developed, which nests the existing…
When the copula of the conditional distribution of two random variables given a covariate does not depend on the value of the covariate, two conflicting intuitions arise about the best possible rate of convergence attainable by…