3 papers
stat.ME2026
Morillas-type transformations of copulas and stable tail dependence functions
Klaus Herrmann, Marius Hofert, Mélina Mailhot +1
A stochastic representation and sampling algorithm for Morillas-type copula-to-copula transformations and related distortions of multivariate distribution functions is derived, res…
stat.ME2025
Probabilistic Crop Yields Forecasts With Spatio-Temporal Conditional Copula Using Extreme Weather Covariates
Marie Michaelides, Mélina Mailhot, Yongkun Li
We introduce a novel forecasting model for crop yields that explicitly accounts for spatio-temporal dependence and the influence of extreme weather and climatic events. Our approac…
q-fin.RM2024
Deviance Voronoi Residuals for Space-Time Point Process Models: An Application to Earthquake Insurance Risk
Roba Bairakdar, Debbie Dupuis, Melina Mailhot
Insurance risk arising from catastrophes such as earthquakes a component of the Minimum Capital Test for federally regulated property and casualty insurance companies. Analyzing ea…