arrow arrow -



<<  

. . - // . .-. -. . 5. . 2013. .. . 41-55.

Artzner Ph., Delbaen F. Default risk insurance and incomplete markets // Mathematical Finance. 1995. Vol. 5, N3. P. 187-195.

Dalakrishnan N., Lai C.-D. Continous bivariate distributions. 2nd ed. Dordrecht: Springer, 2009. 684 p.

Bduerie N., Muller A. Stochastic orders and risk measures: consistency and bounds // Insurance: Mathematics and Economics. 2006. Vol. 38, N 1. P. 132-148.

Cheriyan . C. A bivariate correlated gamma-type distribution function // Journal of the Indian Mathematical Society. 1941. Vol. 5. P. 133-144.

Chernobai A.S., Rachev S.T., Fabozzi F.J. Operational risk: a guide to Basel II capital requirements, models, and analysis. Hoboken: Wiley, 2007. 300 p.

Crouhy M., Galai D., Mark R. Risk management. New York: McGraw-Hill, 2001. 717 p.

Denuit M. et al. Actuarial theory for dependent risks: measures, orders and models. Chichester: Wiley, 2005. 458 p.

Duffie D., Singleton K. J. Credit risk: pricing, measurement, and management. Princeton: Princeton University Press, 2003. 416 p.

Elton E. ,J. et al. Modern portfolio theory and investment analysis. 9th cd. Hoboken: Wiley, 2013. 752 p.

Embrechts P., Kluppelberg CL, Mikosch Th. Modelling extremal events for insurance and finance. Berlin: Springer Verlag, 2003. 648 p.

Follmer H., Schied A. Stochastic finance: an introduction in discrete time. 2nd cd. Berlin: Walter de Gruyter, 2004. 459 p. ( : Ը ., . : . .: , 2008. 496 .).

Izawa . Two or multidimensional gamma-type distribution and its application to rainfall data // Papers in Meteorology and Geophysics. 1965. Vol. 15. P. 167-200.

Joe H. Multivariate Models and Dependence Concepts. Boca Raton: Chapman and Hall / CRC, 1997. 399 p.

Jorion Ph. Value-at-Risk: the new benchmark for managing financial risk. New York: McGraw- Hill, 2001. 544 p.

Kibble W. F. A two-variate gamma-type distribution // Sankhya. 1941. Vol. 5. P. 137-150. Malik FI. J., Tmdel R. Distribution of the product and the quotient of from bivariate t, F and Pareto distribution // Communications in Statistics: Theory and Methods. 1985. Vol. 14. P. 2951-2962.

McNeil A., Frey R., Embrechts P. Quantitative risk management: concepts, techniques, tools.

Princeton: Princeton University Press, 2005. 538 p.

Nelsen R. D. An introduction to copulas. New York: Springer, 1999. 216 p.

Prekopa A., Szantai T. A new multivariate gamma distribution and its fitting to empirical sreamflow data // Water Resources Research. 1978. Vol. 14. P. 19-24.

Ramabhadran V. R. A multivariate gamma-type distribution // Sankhya. 1951. Vol. 11. P. 45-46. Schoemaker P. J. H. The expected utility model: its variants, purposes, evidence and limitations // Journal of Economic Literature. 1982. Vol. 20, N2. P.529-563.

Sen S., Lamichhane R., Diawara N. A bivariate distribution with conditional gamma and its multivariate form // Journal of Modern Applied Statistical Methods. 2014. Vol. 13, N2. P. 169-184.

 
<<