We propose a family of copula-based multivariate distributions with g-and-h marginals. After studying the properties of the distribution, we develop a two-step estimation strategy and analyze via ...

Recently, Jones pointed out a useful device for enriching families of univariate distributions. Typically, one may construct a random variable with distribution F by considering F-1 (U), where U is a ...

This paper is concerned with a matrix method of deriving the sampling distributions of a large class of statistics directly from the probability law for random samples from a multivariate normal ...

Extreme Value Theory (EVT) offers a rigorous framework for the statistical analysis of rare, high-impact events by focusing on the tail behaviour of distributions. This theory underpins methodologies ...

We apply distortion functions to bivariate survival functions for nonnegative random variables. This leads to a natural extension of univariate distortion risk measures to the multivariate setting.

This course is compulsory on the BSc in Actuarial Science and BSc in Financial Mathematics and Statistics. This course is available on the BSc in Data Science, BSc in Econometrics and Mathematical ...