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McNeil, Alexander J.

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Author ID: mcneil.alexander-j Recent zbMATH articles by "McNeil, Alexander J."
Published as: McNeil, Alexander J.; McNeil , Alexander J.; McNeil, A. J.
Documents Indexed: 19 Publications since 1993, including 2 Books

Publications by Year

Citations contained in zbMATH Open

15 Publications have been cited 1,481 times in 1,256 Documents Cited by Year
Quantitative risk management. Concepts, techniques, and tools. Zbl 1089.91037
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
685
2005
Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions. Zbl 1173.62044
McNeil, Alexander J.; Nešlehová, Johanna
236
2009
Quantitative risk management. Concepts, techniques and tools. Revised edition. Zbl 1337.91003
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
164
2015
The \(t\) copula and related copulas. Zbl 1104.62060
Demarta, Stefano; McNeil, Alexander J.
135
2005
Sampling nested Archimedean copulas. Zbl 1221.00061
McNeil, Alexander J.
60
2008
Common Poisson shock models: applications to insurance and credit risk modelling. Zbl 1087.91030
Lindskog, Filip; McNeil, Alexander J.
59
2003
From Archimedean to Liouville copulas. Zbl 1190.62102
McNeil, Alexander J.; Nešlehová, Johanna
36
2010
Likelihood inference for Archimedean copulas in high dimensions under known margins. Zbl 1244.62073
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
32
2012
Estimating value-at-risk: a point process approach. Zbl 1118.91353
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J.
24
2005
Modelling complexity: Applications of Gibbs sampling in medicine. Zbl 0779.62100
Gilks, W. R.; Clayton, D. G.; Spiegelhalter, D. J.; Best, N. G.; McNeil, A. J.; Sharples, L. D.; Kirby, A. J.
14
1993
An algorithm for nonparametric GARCH modelling. Zbl 1043.68108
Bühlmann, Peter; McNeil, Alexander J.
14
2002
Archimedean copulas in high dimensions: estimators and numerical challenges motivated by financial applications. Zbl 1316.62070
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
8
2013
Multivariate stress scenarios and solvency. Zbl 1237.91135
McNeil, Alexander J.; Smith, Andrew D.
7
2012
Calculating variable annuity liability “Greeks” using Monte Carlo simulation. Zbl 1390.91332
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; Morrison, Steven
5
2015
On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families. Zbl 1466.62077
Giorgi, Emanuele; McNeil, Alexander J.
2
2016
On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families. Zbl 1466.62077
Giorgi, Emanuele; McNeil, Alexander J.
2
2016
Quantitative risk management. Concepts, techniques and tools. Revised edition. Zbl 1337.91003
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
164
2015
Calculating variable annuity liability “Greeks” using Monte Carlo simulation. Zbl 1390.91332
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; Morrison, Steven
5
2015
Archimedean copulas in high dimensions: estimators and numerical challenges motivated by financial applications. Zbl 1316.62070
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
8
2013
Likelihood inference for Archimedean copulas in high dimensions under known margins. Zbl 1244.62073
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
32
2012
Multivariate stress scenarios and solvency. Zbl 1237.91135
McNeil, Alexander J.; Smith, Andrew D.
7
2012
From Archimedean to Liouville copulas. Zbl 1190.62102
McNeil, Alexander J.; Nešlehová, Johanna
36
2010
Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions. Zbl 1173.62044
McNeil, Alexander J.; Nešlehová, Johanna
236
2009
Sampling nested Archimedean copulas. Zbl 1221.00061
McNeil, Alexander J.
60
2008
Quantitative risk management. Concepts, techniques, and tools. Zbl 1089.91037
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
685
2005
The \(t\) copula and related copulas. Zbl 1104.62060
Demarta, Stefano; McNeil, Alexander J.
135
2005
Estimating value-at-risk: a point process approach. Zbl 1118.91353
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J.
24
2005
Common Poisson shock models: applications to insurance and credit risk modelling. Zbl 1087.91030
Lindskog, Filip; McNeil, Alexander J.
59
2003
An algorithm for nonparametric GARCH modelling. Zbl 1043.68108
Bühlmann, Peter; McNeil, Alexander J.
14
2002
Modelling complexity: Applications of Gibbs sampling in medicine. Zbl 0779.62100
Gilks, W. R.; Clayton, D. G.; Spiegelhalter, D. J.; Best, N. G.; McNeil, A. J.; Sharples, L. D.; Kirby, A. J.
14
1993
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Cited by 1,691 Authors

29 Durante, Fabrizio
29 Hofert, Marius
25 Genest, Christian
23 Embrechts, Paul
22 Nešlehová, Johanna G.
21 Mai, Jan-Frederik
21 Scherer, Matthias
20 Wang, Ruodu
18 Cossette, Hélène
17 Marceau, Étienne
16 Mesiar, Radko
16 Peng, Liang
15 Landsman, Zinoviy M.
14 Czado, Claudia
14 Joe, Harry
13 Li, Xiaohu
12 Úbeda-Flores, Manuel
12 Zitikis, Ričardas
10 Fernández-Sánchez, Juan
10 Hua, Lei
10 Jaworski, Piotr
10 Kojadinovic, Ivan
10 Puccetti, Giovanni
10 Vanduffel, Steven
9 Bouzebda, Salim
9 Bücher, Axel
9 Frey, Rüdiger
9 Furman, Edward
9 Loisel, Stéphane
9 Wang, Guojing
9 Yuen, Kam Chuen
8 Balakrishnan, Narayanaswamy
8 Okhrin, Ostap
8 Rullière, Didier
8 Segers, Johan
8 Sempi, Carlo
8 Tang, Qihe
8 Yang, Jingping
7 Asimit, Alexandru V.
7 Bee, Marco
7 Di Bernardino, Elena
7 Guillen, Montserrat
7 Hashorva, Enkelejd
7 Jamalizadeh, Ahad
7 Li, Haijun
7 McNeil, Alexander J.
7 McNicholas, Paul D.
7 Valdez, Emiliano A.
7 Wüthrich, Mario Valentin
6 Bernard, Carole
6 Chen, Yiqing
6 Dong, Yinghui
6 Härdle, Wolfgang Karl
6 Lebedev, Alekseĭ Viktorovich
6 Mailhot, Mélina
6 Mao, Tiantian
6 Mesfioui, Mhamed
6 Resnick, Sidney Ira
6 Rezapour, Mohsen
6 Rüschendorf, Ludger
6 Schmidt, Thorsten
6 Yan, Jun
6 You, Yinping
6 Yuan, Zhongyi
5 Arslan, Olcay
5 Brazauskas, Vytaras
5 Brechmann, Eike Christian
5 Chavez-Demoulin, Valérie
5 Côté, Marie-Pier
5 Das, Bikramjit
5 De Baets, Bernard
5 Falk, Michael
5 Foschi, Rachele
5 Frahm, Gabriel
5 Gatzert, Nadine
5 Girard, Stéphane
5 Ignatieva, Katja
5 Kim, Joseph Hyun Tae
5 Li, Chen
5 Nikoloulopoulos, Aristidis K.
5 Nolde, Natalia
5 Pfeifer, Dietmar
5 Rivest, Louis-Paul
5 Robert, Christian Yann
5 Spizzichino, Fabio L.
5 Su, Jianxi
5 Tan, Ken Seng
5 Wang, Bin
5 Yao, Jing
4 Ahn, Jae Youn
4 Albrecher, Hansjörg
4 Arbenz, Philipp
4 Bodnar, Taras
4 Browne, Ryan P.
4 Cai, Jun
4 Cirillo, Pasquale
4 Dickhaus, Thorsten
4 Frees, Edward W.
4 Ghosh, Souvik
4 Gijbels, Irène
...and 1,591 more Authors
all top 5

Cited in 184 Serials

147 Insurance Mathematics & Economics
92 Journal of Multivariate Analysis
50 Computational Statistics and Data Analysis
43 Statistics & Probability Letters
39 Quantitative Finance
36 Dependence Modeling
33 Extremes
29 International Journal of Theoretical and Applied Finance
28 European Journal of Operational Research
28 Scandinavian Actuarial Journal
28 ASTIN Bulletin
24 Methodology and Computing in Applied Probability
23 Communications in Statistics. Theory and Methods
20 Journal of Econometrics
18 Fuzzy Sets and Systems
17 Journal of Computational and Applied Mathematics
16 Journal of Statistical Computation and Simulation
16 Bernoulli
16 North American Actuarial Journal
15 Annals of Operations Research
15 European Actuarial Journal
14 Statistics and Computing
13 Test
11 Journal of Mathematical Analysis and Applications
11 The Annals of Statistics
11 Journal of Statistical Planning and Inference
10 Advances in Applied Probability
10 Scandinavian Journal of Statistics
10 Finance and Stochastics
10 Statistics & Risk Modeling
9 Metrika
9 Information Sciences
9 Kybernetika
9 Statistical Papers
9 Asia-Pacific Financial Markets
8 Annals of the Institute of Statistical Mathematics
8 Communications in Statistics. Simulation and Computation
8 Mathematical Finance
8 Econometric Theory
7 The Canadian Journal of Statistics
7 Statistics
7 International Journal of Approximate Reasoning
7 Computational Statistics
7 Stochastic Processes and their Applications
6 Applied Mathematics and Computation
6 Journal of Applied Probability
6 Journal of Optimization Theory and Applications
6 Bayesian Analysis
5 Journal of Time Series Analysis
5 Journal of Economic Dynamics & Control
5 Mathematical Methods of Statistics
5 Applied Mathematical Finance
5 Applied Stochastic Models in Business and Industry
5 Statistical Methods and Applications
5 Journal of Statistical Theory and Practice
5 AStA. Advances in Statistical Analysis
5 Electronic Journal of Statistics
5 SIAM Journal on Financial Mathematics
4 Lithuanian Mathematical Journal
4 Biometrics
4 Journal of the American Statistical Association
4 Mathematics and Computers in Simulation
4 Operations Research Letters
4 The Annals of Applied Probability
4 Mathematical Methods of Operations Research
4 Journal of Applied Statistics
4 Stochastic Models
4 Review of Derivatives Research
3 Mathematical Notes
3 SIAM Journal on Optimization
3 Journal of Nonparametric Statistics
3 Mathematical Problems in Engineering
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Probability in the Engineering and Informational Sciences
3 International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems
3 Journal of Applied Mathematics
3 Computational Management Science
3 Statistical Methodology
3 Journal of the Korean Statistical Society
3 Advances in Data Analysis and Classification. ADAC
3 Mathematics and Financial Economics
3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
3 Journal of Probability and Statistics
3 Sankhyā. Series A
3 Annals of Finance
2 Moscow University Mathematics Bulletin
2 International Journal of Mathematics and Mathematical Sciences
2 Journal of Mathematical Economics
2 Journal of Classification
2 Optimization
2 Statistical Science
2 Computers & Operations Research
2 Mathematical and Computer Modelling
2 Economics Letters
2 Aequationes Mathematicae
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Mathematical Programming. Series A. Series B
2 Indagationes Mathematicae. New Series
2 Monte Carlo Methods and Applications
2 Complexity
...and 84 more Serials
all top 5

Cited in 35 Fields

922 Statistics (62-XX)
598 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
386 Probability theory and stochastic processes (60-XX)
102 Numerical analysis (65-XX)
66 Operations research, mathematical programming (90-XX)
17 Systems theory; control (93-XX)
15 Real functions (26-XX)
10 Computer science (68-XX)
6 Calculus of variations and optimal control; optimization (49-XX)
5 General and overarching topics; collections (00-XX)
5 Mathematical logic and foundations (03-XX)
5 Integral transforms, operational calculus (44-XX)
5 Geophysics (86-XX)
4 Combinatorics (05-XX)
4 Measure and integration (28-XX)
4 Biology and other natural sciences (92-XX)
3 Dynamical systems and ergodic theory (37-XX)
3 Information and communication theory, circuits (94-XX)
2 History and biography (01-XX)
2 Special functions (33-XX)
2 Difference and functional equations (39-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
2 Functional analysis (46-XX)
2 Convex and discrete geometry (52-XX)
1 Number theory (11-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Topological groups, Lie groups (22-XX)
1 Ordinary differential equations (34-XX)
1 Partial differential equations (35-XX)
1 Approximations and expansions (41-XX)
1 Differential geometry (53-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Quantum theory (81-XX)
1 Statistical mechanics, structure of matter (82-XX)
1 Astronomy and astrophysics (85-XX)

Citations by Year