Copula Theory and Its Applications

Proceedings of the Workshop Held in Warsaw, 25-26 September 2009

AvPiotr Jaworski,Fabrizio Durante

Häftad, Engelska, 2010

Del 198 i serien Lecture Notes in Statistics

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Beskrivning

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.

Produktinformation

Utgivningsdatum:2010-07-24
Mått:155 x 235 x 23 mm
Vikt:538 g
Format:Häftad
Språk:Engelska
Serie:Lecture Notes in Statistics
Antal sidor:327
Upplaga:2010
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783642124648

Utforska kategorier

Innehållsförteckning

Surveys.- Copula Theory: An Introduction.- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes.- Copula Estimation.- Pair-Copula Constructions of Multivariate Copulas.- Risk Aggregation.- Extreme-Value Copulas.- Construction and Sampling of Nested Archimedean Copulas.- Tail Behaviour of Copulas.- Copulae in Reliability Theory (Order Statistics, Coherent Systems).- Copula-Based Measures of Multivariate Association.- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing.- Contributed Papers.- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets.- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data.- Testing Under the Extended Koziol-Green Model.- Parameter Estimation and Application of the Multivariate Skew t-Copula.- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas.- Relationships Between Archimedean Copulas and Morgenstern Utility Functions.