The Pareto Copula, Aggregation of Risks and the Emperor's Socks
By Claudia Klüppelberg, Sidney I. Resnick. 2008
47 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/c90e13282572c12443ff2bbb04b3805d7bfe0613
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Raphaël de Fondeville
- K. Böcker
- Claudia Klüppelberg
- Carlo Sempi
- Fabrizio Durante
- A. C. Davison
- Raphaël Huser
- Paul Embrechts
In Management Science and Operations Research
- Claudia Klüppelberg
- K. Böcker
- Carlo Sempi
- A. C. Davison
- Raphaël de Fondeville
- Fabrizio Durante
- Qihe Tang
- Paul Embrechts
In Statistics and Probability
- Claudia Klüppelberg
- K. Böcker
- Raphaël de Fondeville
- Carlo Sempi
- A. C. Davison
- Fabrizio Durante
- Raphaël Huser
- Paul Embrechts
Citations in the corpus
- Copula Theory: An Introduction (2010, background): “As investigated recently in [114], other ways for transforming r.”
- Copulas: A Personal View (2009, unknown): “In this context, Resnick [37] p. 265 writes " How one standardizes is somewhat arbitrary and depends on taste.”
- Functional peaks‐over‐threshold analysis (2020, background): “Observations can be transformed to have a common marginal distribution, such as the unit Fréchet (Coles & Tawn, 1991, section 5) or unit Pareto (Klüppelberg & Resnick, 2008), and exceedances may be defined on this transformed scale, but, as many extreme phenomena are most naturally characterised on…”
- Modelling and measuring multivariate operational risk with Lévy copulas (2008, background): “Cont & Tankov [11] and references therein, also Kl¨uppelberg & Resnick [ 15 ] for a related concept).”