#### Figures from this paper

#### 13 Citations

ESG, Risk, and (Tail) Dependence

- Economics, Business
- SSRN Electronic Journal
- 2021

While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's… Expand

Cyber-risk decision models: To insure IT or not?

- Economics, Computer Science
- Decis. Support Syst.
- 2013

A Copula-aided Bayesian Belief Network for cyber-vulnerability assessment (C-VA), and expected loss computation, and a utility based preferential pricing (UBPP) model to help firms decide on the utility of cyber-insurance products and to what extent they can use them are proposed. Expand

Analysis of train derailment severity using vine copula quantile regression modeling

- Mathematics
- Transportation Research Part C: Emerging Technologies
- 2019

Abstract Although there is a low frequency of train derailments, they have been a major concern due to their high consequences justifying the need to critically examine the severity of train… Expand

Correlation Analysis of Chinese and American Stock Markets Based on Vine-Copula Model

- Mathematics, Computer Science
- ICITEE
- 2019

A GARCH-Vine copula model to analyze the tail dependence of different stock markets based on the fat-tail and volatility clustering characteristics of financial data is proposed and the research results show that the proposed model is feasible and effective. Expand

Copula-based models in railroad maintenance and safety analysis

- Computer Science
- 2018

The American railroad industry has been a primary stakeholder in the economic development of the nation for close to two centuries and derailments remain a major concern for the railroads due to their high consequences which include loss of life and property, disruption of services, injury, and destruction to the natural environment. Expand

Modeling tamping recovery of track geometry using the copula-based approach

- Computer Science
- 2018

This research employs the copula models in combining arbitrary marginal distributions to form a joint multivariate distribution with the underlying dependence between the variables, which may exhibit nonlinear dependences such as tail or asymmetric dependence. Expand

Simulation-based capital models: testing, justifying and communicating choices. A report from the life aggregation and simulation techniques working party

- Computer Science
- 2017

The practical challenges in parameterising a copula including how allowance may be made for tail dependence are described and how insurers could test, communicate and justify the choices made through the use of some examples are outlined. Expand

Time-dependent reliability analysis for deteriorating structures using imprecise probability theory

- Mathematics
- 2017

Faculty of Engineering and Information Technologies School of Civil Engineering Doctor of Philosophy

Construction of multivariate copulas in $n$-boxes

- Computer Science, Mathematics
- Kybernetika
- 2013

The gluing method of Siburg and Stoimenov and its generalization in Mesiar et al. Expand

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