2 papers
q-fin.RM2025
Higher moments under dependence uncertainty with applications in insurance
Carole Bernard, Jinghui Chen, Steven Vanduffel
Recent studies have highlighted the significance of higher-order moments - such as coskewness - in portfolio optimization within the financial domain. This paper extends that focus…
math.PR2024
Modeling coskewness with zero correlation and correlation with zero coskewness
Carole Bernard, Jinghui Chen, Steven Vanduffel
This paper shows that one needs to be careful when making statements on potential links between correlation and coskewness. Specifically, we first show that, on the one hand, it is…