13 citations · 44 across the 30 of their papers we have counts for
31 papers
Explicit Expressions for Multidimensional Value-at-Risk under Archimedean Copulas
Dotamana Yéo, Saralees Nadarajah, Amadou Sawadogo
This paper studies multivariate Value-at-Risk (VaR) for financial portfolios with a focus on modeling dependence structures through Archimedean copulas. Using the generator represe…
Infinite Divisibility of the Product of Two Correlated Normal Random Variables and Exact Distribution of the Sample Mean
Robert E. Gaunt, Saralees Nadarajah, Tibor K. Pogány
We prove that the distribution of the product of two correlated normal random variables with arbitrary means and arbitrary variances is infinitely divisible. We also obtain exact f…
New Modified Gamma and Beta Functions
S Mubeen, I. Aslam, Ghazi S. Khammash +2
This note introduces a new range of modified gamma and beta functions. The authors present new modified gamma and beta -functions, first and second summation relations, vari…
Some generalized inequalities involving extended beta and gamma functions for several variables
S. Mubeen, I. Aslam, Ghazi S. Khammash +2
Recently, extensions of gamma and beta functions have been studied by many researchers due to their nice properties and variety of applications in different fields of science. The…
On Pólya's random walk constants
Robert E. Gaunt, Saralees Nadarajah, Tibor K. Pogány
A celebrated result in probability theory is that a simple symmetric random walk on the -dimensional lattice is recurrent for and transient for .…
On the fractional integrals and derivatives of Bateman's matrix polynomials
Ghazi S. Khammash, Shimaa I. Moustafa, Shahid Mubeen +2
The object of this paper is to investigate the certain results involving Bateman's matrix polynomials for integral index. We obtain some properties, integral representation and rec…