相关论文: Coupling couples with copulas: analysis of assorta…
A novel copula-based multivariate panel ordinal model is developed to estimate structural relations among components of well-being. Each ordinal time-series is modelled using a copula-based Markov model to relate the marginal distributions…
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a…
We assume that we have multiple ordinal time series and we would like to specify their joint distribution. In general it is difficult to create multivariate distribution that can be easily used to jointly model ordinal variables and the…
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the optimal mean-$CVaR$ portfolio we compute…
In this article, a copula-based method for mixed regression models is proposed, where the conditional distribution of the response variable, given covariates, is modelled by a parametric family of continuous or discrete distributions, and…
We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized ones,…
Joint multivariate longitudinal and time-to-event data are gaining increasing attention in the biomedical sciences where subjects are followed over time to monitor the progress of a disease or medical condition. In the insurance context,…
In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions. For each considered firm, balance sheet data are used to…
Copulas. We study the model risk of multivariate risk models in a comprehensive empirical study on Copula-GARCH models used for forecasting Value-at-Risk and Expected Shortfall. To determine whether model risk inherent in the forecasting of…
Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks. In this paper, we use generalized additive models to extend them by allowing covariates effects. Borrowing ideas from a traditionally…
High-dimensional mixed data as a combination of both continuous and ordinal variables are widely seen in many research areas such as genomic studies and survey data analysis. Estimating the underlying correlation among mixed data is hence…
Use copula to model dependency of variable extends multivariate gaussian assumption. In this paper we first empirically studied copula regression model with continous response. Both simulation study and real data study are given. Secondly…
In the Gale-Shapley model of two-sided matching, it is well known that for generic preferences, the outcomes for each side can vary dramatically in the male-optimal vs. female-optimal stable matchings. In this paper, we show that under a…
Many insurance products and pension plans provide benefits which are related to couples, and thus under influence of the survival status of two lives. Some studies show the future lifetime of couples is correlated. Three reasons are…
Stable matching in a community consisting of $N$ men and $N$ women is a classical combinatorial problem that has been the subject of intense theoretical and empirical study since its introduction in 1962 in a seminal paper by Gale and…
Two of Peter Schmidt's many contributions to econometrics have been to introduce a simultaneous logit model for bivariate binary outcomes and to study estimation of dynamic linear fixed effects panel data models using short panels. In this…
This study outlines a comprehensive methodology utilizing copulas to discern inconsistencies in the behavior exhibited by pairs of financial assets. It introduces a robust approach to establishing the interrelationship between the returns…
In probability and statistics, copulas play important roles theoretically as well as to address a wide range of problems in various application areas. In this paper, we introduce the concept of multivariate discrete copulas, discuss their…
The use of the proportional odds (PO) model for ordinal regression is ubiquitous in the literature. If the assumption of parallel lines does not hold for the data, then an alternative is to specify a non-proportional odds (NPO) model, where…