{"title":"On Copula-Itô processes","authors":"P. Jaworski","doi":"10.1515/demo-2019-0017","DOIUrl":"https://doi.org/10.1515/demo-2019-0017","url":null,"abstract":"Abstract We study the dynamics of the family of copulas {Ct}t≥0 of a pair of stochastic processes given by stochastic differential equations (SDE). We associate to it a parabolic partial differential equation (PDE). Having embedded the set of bivariate copulas in a dual of a Sobolev Hilbert space H1 (ℝ2)* we calculate the derivative with respect to t and the *weak topology i.e. the tangent vector field to the image of the curve t → Ct. Furthermore we show that the family {Ct}t≥0 is an orbit of a strongly continuous semigroup of transformations and provide the infinitesimal generator of this semigroup.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"322 - 347"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0017","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41431570","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"On the asymptotic covariance of the multivariate empirical copula process","authors":"C. Genest, M. Mesfioui, J. Nešlehová","doi":"10.1515/demo-2019-0015","DOIUrl":"https://doi.org/10.1515/demo-2019-0015","url":null,"abstract":"Abstract Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this result to the multivariate case is provided.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"279 - 291"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0015","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46390285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Probability of ruin in discrete insurance risk model with dependent Pareto claims","authors":"C. Constantinescu, T. Kozubowski, Haoyu H. Qian","doi":"10.1515/demo-2019-0011","DOIUrl":"https://doi.org/10.1515/demo-2019-0011","url":null,"abstract":"Abstract We present basic properties and discuss potential insurance applications of a new class of probability distributions on positive integers with power law tails. The distributions in this class are zero-inflated discrete counterparts of the Pareto distribution. In particular, we obtain the probability of ruin in the compound binomial risk model where the claims are zero-inflated discrete Pareto distributed and correlated by mixture.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"215 - 233"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0011","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43648558","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas","authors":"W. Trutschnig, T. Mroz","doi":"10.1515/demo-2018-0021","DOIUrl":"https://doi.org/10.1515/demo-2018-0021","url":null,"abstract":"Abstract We derive a new (lower) inequality between Kendall’s τ and Spearman’s ρ for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclude that the comonotonic and the product copula are the only Extreme-Value Copulas for which the well-known lower Hutchinson-Lai inequality is sharp.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"6 1","pages":"369 - 376"},"PeriodicalIF":0.7,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2018-0021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43823298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Journey Beyond The Gaussian World","authors":"C. Genest, Giovanni Puccetti","doi":"10.1515/demo-2018-0016","DOIUrl":"https://doi.org/10.1515/demo-2018-0016","url":null,"abstract":"Harry Joe is Professor of Statistics at the University of British Columbia, Vancouver, Canada. He received an Honors BSc in Mathematics from the University of Victoria in 1978, an MSc in Statistics from the University of British Columbia (UBC) in 1979, and a PhD in Statistics from Florida State University in 1982. He joined UBC as an Assistant Professor in 1982 and was promoted to the ranks of Associate and Full Professor in 1987 and 1993, respectively. He is renowned internationally for his pioneering work in dependence modeling, notably through three books. He has also made signi cant contributions in many other areas, including statistical computing, inference, and time series analysis. He has had successful collaborations in environmetrics, medical genetics and psychometrics. He was the 1995 winner of the Canadian Journal of Statistics Best Paper Award and the 2016 recipient of the Gold Medal for Research from the Statistical Society of Canada. He was John von Neumann Gastprofessur at Technische Universität München in May– June 2011. He has also served the research community in various editorial capacities.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"6 1","pages":"288 - 297"},"PeriodicalIF":0.7,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2018-0016","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42650639","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Transformation of a copula using the associated co-copula","authors":"S. Girard","doi":"10.1515/demo-2018-0017","DOIUrl":"https://doi.org/10.1515/demo-2018-0017","url":null,"abstract":"Abstract We investigate the properties of a new transformation of copulas based on the co-copula and an univariate function. It is shown that several families in the copula literature can be interpreted as particular outputs of this transformation. Symmetry, association, ordering and dependence properties of the resulting copula are established.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"6 1","pages":"298 - 308"},"PeriodicalIF":0.7,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2018-0017","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67145525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Tarik Bahraoui, T. Bouezmarni, Jean‐François Quessy
{"title":"Testing the symmetry of a dependence structure with a characteristic function","authors":"Tarik Bahraoui, T. Bouezmarni, Jean‐François Quessy","doi":"10.1515/demo-2018-0019","DOIUrl":"https://doi.org/10.1515/demo-2018-0019","url":null,"abstract":"Abstract This paper proposes competing procedures to the tests of symmetry for bivariate copulas of Genest, Nešlehová and Quessy (2012). To this end, the null hypothesis of symmetry is expressed in terms of the copula characteristic function that uniquely determines the copula of a given bivariate population with continuous marginal distributions. Then, test statistics based on L2 weighted distances computed from an empirical version of the copula characteristic function are proposed. Their asymptotic behavior is derived under the null hypothesis as well as under general alternatives. In particular, it is established that these rank statistics behave asymptotically as first-order degenerate V-statistics under the null hypothesis and this large-sample representation is exploited in order to provide suitably adapted multiplier bootstrap versions for the computation of p-values. The simulations that are reported show that the new tests are more powerful than the competing methods based on the empirical copula introduced by Genest, Nešlehová and Quessy (2012).","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"6 1","pages":"331 - 355"},"PeriodicalIF":0.7,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2018-0019","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42838905","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas","authors":"P. Ressel","doi":"10.1515/demo-2018-0020","DOIUrl":"https://doi.org/10.1515/demo-2018-0020","url":null,"abstract":"Abstract Williamson’s integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply ℓ1- symmetry. We then introduce a new class of generalized Archimedean copulas, where in contrast to nested Archimedean copulas no extra compatibility conditions for their generators are required.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"6 1","pages":"356 - 368"},"PeriodicalIF":0.7,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2018-0020","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45906466","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Default Risk Charge approach to regulatory risk measurement processes","authors":"M. Bonollo, L. Persio, Luca Prezioso","doi":"10.1515/demo-2018-0018","DOIUrl":"https://doi.org/10.1515/demo-2018-0018","url":null,"abstract":"Abstract In the present paper we consider the Default Risk Charge (DRC) measure as an effective alternative to the Incremental Risk Charge (IRC) one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets issued by several financial agents. While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible because of both the new regulation and to the high speed - low cost technology available nowadays. Concrete algorithms and numerical examples are provided to illustrate the effectiveness of the proposed techniques.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"6 1","pages":"309 - 330"},"PeriodicalIF":0.7,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2018-0018","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43153784","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship","authors":"Nadia Kadiri, A. Rabhi, A. Bouchentouf","doi":"10.1515/demo-2018-0013","DOIUrl":"https://doi.org/10.1515/demo-2018-0013","url":null,"abstract":"Abstract The main objective of this paper is to non-parametrically estimate the quantiles of a conditional distribution in the censorship model when the sample is considered as an -mixing sequence. First of all, a kernel type estimator for the conditional cumulative distribution function (cond-cdf) is introduced. Afterwards, we estimate the quantiles by inverting this estimated cond-cdf and state the asymptotic properties when the observations are linked with a single-index structure. The pointwise almost complete convergence and the uniform almost complete convergence (with rate) of the kernel estimate of this model are established. This approach can be applied in time series analysis.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"6 1","pages":"197 - 227"},"PeriodicalIF":0.7,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2018-0013","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48018233","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}