12 citations · 23 across the 6 of their papers we have counts for
6 papers
Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
Daniela I. Flores-Silva, Miguel A. Sordo, Alfonso Suárez-Llorens
We extend the "probability-equivalent level of VaR and CoVaR" (PELCoV) methodology to accommodate bivariate risks modeled by a Student-t copula, relaxing the strong dependence assu…
An easily verifiable dispersion order for discrete distributions
Andreas Eberl, Bernhard Klar, Alfonso Suárez-Llorens
Dispersion is a fundamental concept in statistics, yet standard approaches - especially via stochastic orders - face limitations in the discrete setting. In particular, the classic…
On partial stochastic comparisons based on tail values at risk
Alfonso J. Bello, Julio Mulero, Miguel A. Sordo +1
In risk theory, financial asset returns often follow heavy-tailed distributions. Investors and risk managers used to compare risk measures as the value at risk or tail value at ris…
A variance-based importance index for systems with dependent components
Antonio Arriaza, Jorge Navarro, Miguel Angel Sordo +1
This paper proposes a variance-based measure of importance for coherent systems with dependent and heterogeneous components. The particular cases of independent components and homo…
Predicting failure times of coherent systems
Jorge Navarro, Antonio Arriaza, Alfonso Suárez-Llorens
The article is focused on studying how to predict the failure times of coherent systems from the early failure times of their components. Both the cases of independent and dependen…
Stochastic comparisons, differential entropy and varentropy for distributions induced by probability density functions
Antonio Di Crescenzo, Luca Paolillo, Alfonso Suarez-Llorens
Stimulated by the need of describing useful notions related to information measures, we introduce the `pdf-related distributions'. These are defined in terms of transformation of a…