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

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Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009Suurem pilt
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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.



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.
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.
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