Dependence Structures and Limiting Results: with Applications in Finance and Insurance - Couverture souple

ARTHUR, CHARPENTIER

 
9783836492447: Dependence Structures and Limiting Results: with Applications in Finance and Insurance
Couverture souple
ISBN 10 : 383649244X ISBN 13 : 9783836492447
Editeur : VDM Verlag Dr. Müller, 2008

Synopsis

"Extreme, synchronized rises and falls in financial markets occur infrequently but they do occur. The problem with the models is that they did not assign a high enough chance of occurrence to the scenario in which many things go wrong at the same time - the 'em perfect storm' scenario" (Business Week, September 1998). This book focuses on limiting theorems for copulae. Because joint dependences of extremal events is nowadays is key issue in risk management, it becomes crucial to get a better understanding of behavior of copulas in tails. The first chapter presents a survey on copulae, and possible applications in risk management. The following chapters present some canonical theorems for copulae, and the link between this approach and standard results on multivariate extreme is explained. A concluding chapter presents a survey on graphical procedures to represent copula densities (with proper fit) in tails.

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

Présentation de l'éditeur

"Extreme, synchronized rises and falls in financial markets occur infrequently but they do occur. The problem with the models is that they did not assign a high enough chance of occurrence to the scenario in which many things go wrong at the same time - the 'em perfect storm' scenario" (Business Week, September 1998). This book focuses on limiting theorems for copulae. Because joint dependences of extremal events is nowadays is key issue in risk management, it becomes crucial to get a better understanding of behavior of copulas in tails. The first chapter presents a survey on copulae, and possible applications in risk management. The following chapters present some canonical theorems for copulae, and the link between this approach and standard results on multivariate extreme is explained. A concluding chapter presents a survey on graphical procedures to represent copula densities (with proper fit) in tails.

Biographie de l'auteur

Arthur Charpentier is currently researcher at University Rennes 1, after 5 years as Professor-Assistant at ENSAE (National School in Statistics and Economics). This monograph is based on his PhD thesis, defended in 2006 at Katholieke Universiteit Leuven. He has written two books in French with Michel Denuit on Non-life Insurance Mathematics.

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

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2008
Langue
anglais
ISBN 10 
383649244X
ISBN 13 
9783836492447
Reliure
Broché
Nombre de pages
224
Coordonnées du fabricant
non disponible
Personne responsable
non disponible

Autres éditions populaires du même titre

9789086490394: Dependence structures and limiting results, with applications in: finance and insurance

Edition présentée

ISBN 10 :  9086490395 ISBN 13 :  9789086490394
Editeur : KU Leuven - Faculty of Science, 2006
Couverture souple