Articles liés à Copula Theory and Its Applications: Proceedings of...

Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 - Couverture souple

Livre 45 sur 72: Lecture Notes in Statistics
 
9783642124648: Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Copulas are mathematical objects that fully capture the dependence structure among random variables. This book offers an up-to-date account of essential aspects of copula models. It also features papers selected from presentations at a workshop in Warsaw.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.