Modeling and Generating Dependent Risk Processes for IRM and DFA

By Dietmar Pfeifer, Johana Nešlehová. ASTIN Bulletin: The Journal of the International Actuarial Association, 2004

57 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/64cfad0de993b6ed7bd8828b90fcf332160467bb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Paul Embrechts
2. Johana Nešlehová
3. Jianxi Su
4. Christian Genest
5. Edward Furman
6. V. Chavez‐Demoulin
7. Claudia Czado
8. Fabrizio Durante

In Management Science and Operations Research

1. Johana Nešlehová
2. Jianxi Su
3. Edward Furman
4. Paul Embrechts
5. Christian Genest
6. V. Chavez‐Demoulin
7. Fabrizio Durante
8. Aristidis K. Nikoloulopoulos

Citations in the corpus

• A Primer on Copulas for Count Data (2007, background): “See, e.g., Choulakian and de Tibeiro (2000), Genest et al. (2003) and Pfeifer and Neslehova (2004), as well as Chapter 8 of McNeil et al. (2005).”
• Quantitative models for operational risk: Extremes, dependence and aggregation (2006, methodology): “see Pfeifer and Nešlehová (2004). Note that this formula involves the correlation coefficient of the counting variables Nk and Nl.”
• A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (2016, methodology): “For applications of the multivariate reduction method in insurance, we refer to, e.g., Vernic (1997, 2000), Pfeifer and Nešlehová (2004), Furman and Landsman (2005, 2010), Boucher et al. (2008) and Tsanakas (2008), as well as to the references therein.”