3 papers
math.ST2020
How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
Thomas Mroz, Sebastian Fuchs, Wolfgang Trutschnig
Motivated by the increasing popularity and the seemingly broad applicability of pair-copula constructions underlined by numerous publications in the last decade, in this contributi…
math.ST2018
A sharp inequality for Kendall's and Spearman's of Extreme-Value Copulas
Thomas Mroz, Wolfgang Trutschnig
We derive a new (lower) inequality between Kendall's tau? and Spearman's rho? for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclu…
math.PR2016
On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
Thomas Mroz, Juan Fernández Sánchez, Sebastian Fuchs +1
We study the problem of maximizing the probability that (i) an electric component or financial institution does not default before another component or institution and (ii)…