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Semiparametric estimation in copula models
The author recalls the limiting behaviour of the empirical copula process and applies it to prove some asymptotic properties of a minimum distance estimator for a Euclidean parameter in a copulaExpand
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One-Parameter Families of Distortion Risk Measures
This paper introduces parametric families of distortion risk measures, investigates their properties, and discusses their use in risk management. Their derivation is based on Kusuoka's representationExpand
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The empirical beta copula
TLDR
A Monte Carlo simulation study shows that the empirical beta copula outperforms the empirical copula and the empirical checkerboard copula in terms of bias and variance. Expand
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Estimation of Distortion Risk Measures
For the class of distortion risk measures, a natural estimator has the form of L-statistics. In this article, we investigate the large sample properties of general L-statistics based on weaklyExpand
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Copulas and Their Applications
Copulas have recently been of great interest to statisticians as well as financial econometricians since they give a promising, flexible tool for understanding dependence among random variables, andExpand
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On Some Resampling Procedures with the Empirical Beta Copula
The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is a genuine copula, from which, moreover, it is particularly easy to sample, it is reasonable toExpand
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Some properties of distortion risk measures
We give a simplified proof of the fact that law invariant convex risk mea sures automatically have Fatou property, which is first shown by Jouini et al. (Adv. Math. Econ. 9:49–71, 2006). AfterExpand
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Two-neighbour stochastic cellular automata and their planar lattice duals
Two-neighbour stochastic cellular automata (SCA) are the set of one-dimensional discrete-time interacting particle systems with two parameters, which show non-equilibrium phase transitions from theExpand
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