Correlation and Dependence in Risk Management: Properties and Pitfalls
Data up to Jan 2025
Total Citations Per Year
Abstract
References (42)
Coherent Measures of Risk
1999 • 8,857 citations
An Introduction to Copulas
1999 • 7,538 citations
The Econometrics of Financial Markets
2012 • 6,595 citations
Modelling Extremal Events
1997 • 4,155 citations
Non-Uniform Random Variate Generation
1986 • 4,076 citations
Modelling Extremal Events: for Insurance and Finance
1997 • 3,730 citations
Multivariate Models and Dependence Concepts.
1998 • 3,634 citations
Extreme Values, Regular Variation and Point Processes
1987 • 3,259 citations
Probabilistic Metric Spaces
1983 • 2,740 citations
The Dual Theory of Choice under Risk
1987 • 2,466 citations
The Asymptotic Theory of Extreme Order Statistics
1990 • 1,917 citations
Stochastic Simulation
1987 • 1,835 citations
Symmetric Multivariate and Related Distributions.
1991 • 1,704 citations
A distribution-free approach to inducing rank correlation among input variables
1982 • 1,567 citations
Understanding Relationships Using Copulas
1998 • 1,240 citations
Statistical Inference Procedures for Bivariate Archimedean Copulas
1993 • 1,157 citations
Non-additive measure and integral
1994 • 1,153 citations
A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
1995 • 1,133 citations
Random Number Generation and Monte Carlo Methods
2000 • 835 citations
Coherent Risk Measures on General Probability Spaces
2002 • 767 citations
On Nonparametric Measures of Dependence for Random Variables
1981 • 592 citations
Bivariate extreme statistics, I
1960 • 543 citations
Pitfalls in Tests for Changes in Correlations
1997 • 397 citations
Probabilistic arithmetic. I. Numerical methods for calculating convolutions and dependency bounds
1990 • 394 citations
Asset Allocation in a Downside Risk Framework
2000 • 329 citations
A nonparametric estimation procedure for bivariate extreme value copulas
1997 • 291 citations
Dependency of Risks and Stop-Loss Order
1996 • 245 citations
Fitting bivariate loss distributions with copulas
1999 • 239 citations
Continuous Bivariate Distributions, Emphasising Applications.
1991 • 212 citations
Best-possible bounds for the distribution of a sum — a problem of Kolmogorov
1987 • 185 citations
Comonotonicity, correlation order and premium principles
1998 • 167 citations
AGGREGATION OF CORRELATED RISK PORTFOLIOS: MODELS AND ALGORITHMS
1999 • 143 citations
Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
1982 • 140 citations
Multivariate distributions having Weibull properties
1979 • 123 citations
Measures of Dependence and Tests of Independence
1996 • 95 citations
Copulas, marginals, and joint distributions
1996 • 80 citations
An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer
1997 • 50 citations
Stop-loss premiums under dependence
1999 • 34 citations
4 Measures of dependence
1984 • 19 citations
THE FRÉCHET BOUNDS REVISITED
1991 • 11 citations
Mixtures of multivariate quasi-extremal distributions having given marginals
1996 • 10 citations
Bounds for the distribution of a multivariate sum
1996 • 8 citations