Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case

Abstract. In general, the risk of joint extreme outcomes in financial markets can be expressed as a function of the tail dependence function of a high‐dimensional vector after standardizing marginals. Hence, it is of importance to model and estimate tail dependence functions. Even for moderate dimension, non‐parametrically estimating a tail dependence function is very inefficient and fitting a parametric model to tail dependence functions is not robust. In this paper, we propose a semi‐parametric model for (asymptotically dependent) tail dependence functions via an elliptical copula. Under this model assumption, we propose a novel estimator for the tail dependence function, which proves favourable compared to the empirical tail dependence function estimator, both theoretically and empirically.     

Scheduling professionals in the retail pharmacy chain

To control operating costs, a zero-one integer programming model is developed to assist pharmacy staff scheduling decisions. Variable scheduling needs are met by the assignment of relief (mobile) pharmacists to help or temporarily replace full-time pharmacists. Assignments of relief pharmacists over a two-week planning horizon are determined with consideration given to variations in wage rates and travel costs together with the underlying corporate, contractual and operating constraints. The developed model has been applied with considerable success using data collected from a business district in the US located in northern Louisiana related to a national retail chain pharmacy. Forecasting the number of chain retail outlets in the near future has been also performed and the results obtained argue in favor of adopting the model by the entire chain.     

Trauma and couples: mechanisms in dyadic functioning

Research traditionally has focused on the development of symptoms in those who experienced trauma directly but overlooked the impact of trauma on the families of victims. In recent years, researchers and clinicians have begun to examine how individual exposure to traumatic events affects the spouses/partners, children, and professional helpers of trauma survivors. The current study reports data from a larger mixed-methodology study that includes qualitative interview data from 17 individuals, coded to identify the mechanisms that may affect the couple's interpersonal functioning when there is a history of trauma exposure in one or both partners. The following primary themes were identified: role in the relationship, boundary issues, intimacy problems, triggers, and coping mechanisms. Areas for future research and clinical implications also are identified.