Browsing Theses by Subject "copula"
Now showing items 1-5 of 5
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Bounds on Aggregate Assets
(University of Waterloo, 2014-01-23)Aggregating financial assets together to form a portfolio, commonly referred to as "asset pooling", is a standard practice in the banking and insurance industries. Determining a suitable probability distribution for this ... -
Estimation and Goodness of Fit for Multivariate Survival Models Based on Copulas
(University of Waterloo, 2009-08-20)We provide ways to test the fit of a parametric copula family for bivariate censored data with or without covariates. The proposed copula family is tested by embedding it in an expanded parametric family of copulas. When ... -
Methods in Functional Data Analysis: Forecast Evaluation, Robust Serial Dependence Measures, and a Spatial Factor Copula Model
(University of Waterloo, 2023-09-05)With advancements in technology, new types of data have become available, including functional data, which observations in the form of functions or curves rather than scalar or vector-valued quantities. This emerging area ... -
Some Results on Multivariate Dependence Modeling
(University of Waterloo, 2015-01-14)The goal of this thesis is to solve some problems in dependence modeling. Under special assumptions, we use Tankov [2011]’s result to give sharp bounds on variance of the sum of two random variables with partial information ... -
Tail Dependence and Heavy Tailedness in Extreme Risks
(University of Waterloo, 2020-12-18)Much empirical work has shown that asset returns, exchange rates, operational risks, large insurance claims exhibit heavy tailedness. Dependence also widely exists among these risks. An example of the impact of dependence ...