This is a book about statistical distributions, their properties, and their application to
modelling the dependence of the location, scale, and shape of the distribution of a response …

This book reviews the state-of-the-art advances in skew-elliptical distributions and provides
many new developments in a single volume, collecting theoretical results and applications …

This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …

Significant changes in the insurance and financial markets are giving increasing attention to
the need for developing a standard framework for risk measurement. Recently, there has …

Knowledge of the statistical distribution of the prices of emission allowances, and their
forecastability, are crucial in constructing, among other things, purchasing and risk …

Operational risk is being recognized as an important risk component for financial institutions
as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risk …

A one-stop guide for the theories, applications, and statistical methodologies essential to
operational risk Providing a complete overview of operational risk modeling and relevant …

We introduce and explore Gini-type measures of risk and variability, and develop the
corresponding economic capital allocation rules. The new measures are coherent, additive …

Intermediate Probability is the natural extension of the author's Fundamental Probability. It
details several highly important topics, from standard ones such as order statistics …

Theoretical literature in finance has shown that the risk of financial time series can be well
quantified by their expected shortfall, also known as the tail value‐at‐risk. In this paper, I …