Risk Measurement and Risk Modelling Using Applications of Vine Copulas

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar

doi:10.3390/su9101762

Cited by 24 publications

(17 citation statements)

References 35 publications

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“…Fischer et al [27] compared this approach with other methods and found that the vine copula method performed better in high-dimensional cases. Other studies [32][33][34] pointed out the same conclusion.…”

Section: Vine Copula Construction a K-dimensional Copulasupporting

confidence: 62%

Multivariate Joint Probability Function of Earthquake Ground Motion Prediction Equations Based on Vine Copula Approach

Cheng

2020

Mathematical Problems in Engineering

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In the structural earthquake engineering, a single parameter is often not sufficient enough to depict the severity of ground motions, and it is thus necessary to use multiple ones. In this sense, the correlation among multiple parameters is generally considered as an importance issue. The conventional approach for developing the correlation is based on regression analysis, along with simple pair copula approaches proposed in recent years. In this study, an innovative mathematical technique—vine copula—is firstly introduced to develop the empirical model for the multivariate dependence of pseudospectral accelerations (PSAs), which are the most commonly used earthquake ground motion parameters. This advancement not only offers a more flexible way of describing nonlinear dependence among multivariate PSAs from the marginal distribution functions but also highlights the extreme dependence. The results can be conventionally acquired in the ground motion selection and seismic risk and loss assessment based on multivariate parameters.

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Section: Vine Copula Construction a K-dimensional Copulasupporting

confidence: 62%

Multivariate Joint Probability Function of Earthquake Ground Motion Prediction Equations Based on Vine Copula Approach

Cheng

2020

Mathematical Problems in Engineering

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“…See, e.g., Dißmann et al (2013) and references therein, Min and Czado (2014), Beare and Seo (2015), Brechmann and Joe (2015), Schepsmeier (2015), Weiß and Scheffer (2015), etc. Vine copula has been widely applied in finance, see, e.g., Low et al (2013), Weiß and Supper (2013), Abbara (2014), Arreola Hernandez (2014), Brechmann et al (2014), Markwat (2014), Allen et al (2014), Zhang (2014), Siburg et al (2015), etc. For example, it can be applied in portfolio optimization in mainly two directions.…”

Section: Introductionmentioning

confidence: 99%

U.S. stock markets and the role of real interest rates

Huang¹,

Mollick²,

Nguyen³

2016

The Quarterly Review of Economics and Finance

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“…Likert scales are known as a tool for the measurement and assessment of attitudes. The reason for this is that the Likert scale is a straightforward tool to use and can be analysed effectively as interval or fuzzy scales (Allen et al, 2017). Eckenrode (1965) presented seminal work on criteria weights elicitation.…”

Section: Brief Review Of Methodology Of An Integrated Delphic-eckenromentioning

confidence: 99%

Information Security Risk Assessment in Critical Infrastructure: A Hybrid MCDM Approach

et al. 2019

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The risk analysis has always been one of the essential procedures for any areas. The majority of security incidents occur because of ignoring risks or their inaccurate assessment. It is especially dangerous for critical infrastructures. Thus, the article is devoted to the description of the developed model of risk assessment for the essential infrastructures. The goal of the model is to provide a reliable method for multifaceted risk assessment of information infrastructure. The purpose of the article is to present a developed model based on integrated MCDM approaches that allow to correctly assess the risks of the critical information infrastructures.

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Risk Measurement and Risk Modelling Using Applications of Vine Copulas

Cited by 24 publications

References 35 publications

Multivariate Joint Probability Function of Earthquake Ground Motion Prediction Equations Based on Vine Copula Approach

Multivariate Joint Probability Function of Earthquake Ground Motion Prediction Equations Based on Vine Copula Approach

U.S. stock markets and the role of real interest rates

Information Security Risk Assessment in Critical Infrastructure: A Hybrid MCDM Approach

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