Stochastic orders for functional dependence
Stochastic orders for functional dependence
Jonathan Ansari
(ORCID: 0000-0003-3603-2867)
Disciplines
Other Natural Sciences (30%); Mathematics (70%)
Keywords
-
Copulas,
Dependence Measures,
Risk Models,
Optimal Transport,
Stochastic Orders
Research institution(s)
- Universität Salzburg - 100%
Project participants
- Sebastian Fuchs, Universität Salzburg , national collaboration partner
- Wolfgang Trutschnig, Universität Salzburg , national collaboration partner
International project participants
- Johannes Wiesel, University of Copenhagen - Denmark
- Eva-Maria Lütkebohmert-Holtz, Universität Freiburg - Germany
- Alfred Müller, Universität Siegen - Germany
Research Output
- 1 Publications
Publications
-
2025
Title Robust Bernoulli Mixture Models for Credit Portfolio Risk DOI 10.1111/mafi.70020 Type Journal Article Author Ansari J Journal Mathematical Finance