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Copula Theory and Its Applications - Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 (Paperback, 2010 ed.)
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Copula Theory and Its Applications - Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 (Paperback, 2010 ed.)
Series: Lecture Notes in Statistics, 198
Expected to ship within 10 - 15 working days
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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.
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