Probability of ruin in discrete insurance risk model with dependent Pareto claims

Artikel in diesem Heft

1. Special Issue: Heavy Tails and Dependence
2. Volatility filtering in estimation of kurtosis (and variance)
3. Structural change in the link between oil and the European stock market: implications for risk management
4. Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
5. Probability of ruin in discrete insurance risk model with dependent Pareto claims
6. Fitting heavy-tailed mixture models with CVaR constraints
7. Regular articles
8. Modelling cascading effects for systemic risk: Properties of the Freund copula
9. A simple proof of Pitman–Yor’s Chinese restaurant process from its stick-breaking representation
10. On the lower bound of Spearman’s footrule
11. Exponential inequalities for nonstationary Markov chains
12. New copulas based on general partitions-of-unity (part III) — the continuous case
13. Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
14. A latent class analysis towards stability and changes in breadwinning patterns among coupled households
15. Copulas, stable tail dependence functions, and multivariate monotonicity
16. On a class of norms generated by nonnegative integrable distributions
17. On the asymptotic covariance of the multivariate empirical copula process
18. On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior
19. On Copula-Itô processes
20. Dependence measure for length-biased survival data using copulas
21. Optimal bandwidth selection for recursive Gumbel kernel density estimators
22. Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
23. Interview Article
24. The world of vines