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© 2017

Copulas and Dependence Models with Applications

Contributions in Honor of Roger B. Nelsen

  • Manuel Úbeda Flores
  • Enrique de Amo Artero
  • Fabrizio Durante
  • Juan Fernández Sánchez
Conference proceedings

Table of contents

  1. Front Matter
    Pages i-xvii
  2. Enrique de Amo, Manuel Díaz Carrillo, Juan Fernández Sánchez
    Pages 1-19
  3. Umberto Cherubini, Sabrina Mulinacci
    Pages 21-31
  4. Bernard De Baets, Hans De Meyer
    Pages 33-47
  5. F. Marta L. Di Lascio, Fabrizio Durante, Roberta Pappadà
    Pages 49-67
  6. Arturo Erdely
    Pages 69-81
  7. Christian Genest, Johanna G. Nešlehová
    Pages 83-93 Open Access
  8. Erich Peter Klement, Anna Kolesárová, Radko Mesiar, Susanne Saminger-Platz
    Pages 135-156
  9. Gaspar Mayor, Jaume Suñer, Joan Torrens
    Pages 157-170
  10. José Juan Quesada-Molina
    Pages 171-180
  11. Carlo Sempi
    Pages 203-224
  12. Wolfgang Trutschnig
    Pages 225-240
  13. Manuel Úbeda-Flores, Juan Fernández-Sánchez
    Pages 241-258
  14. Christian Genest, Johanna G. Nešlehová
    Pages E1-E1

About these proceedings

Introduction

This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017.

The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.

Keywords

copula dependence measures of association rank statistics quantitative risk management measure theory stochastic orderings copula theory applications of copulas Roger B. Nelsen distributions with given marginals Archimedian copula empirical copula copula construction quasi-copula multivariate copula diagonal sections conic sections tail copula Sklar theorem

Editors and affiliations

  • Manuel Úbeda Flores
    • 1
  • Enrique de Amo Artero
    • 2
  • Fabrizio Durante
    • 3
  • Juan Fernández Sánchez
    • 4
  1. 1.Department of MathematicsUniversity of AlmeríaAlmeríaSpain
  2. 2.Department of MathematicsUniversity of AlmeríaAlmeríaSpain
  3. 3.Dipartimento di Scienze dell’Economia Università del Salento LecceItaly
  4. 4.Research Group of Mathematical AnalysisUniversity of AlmeríaAlmeríaSpain

About the editors

Enrique de Amo Artero is Associate Professor of Mathematical Analysis at the Department of Mathematics at the University of Almería, Spain. He studied at the University of Granada, Spain, where he obtained his doctoral degree in Mathematics in 1994.  He is Principal Investigator of the research project “Applications of Measure Theory and Copula Theory. Construction of Stochastic Models", supported by the Ministry of Economy and Competitiveness of the Spanish Government. His fields of interest and research are finite measure theory, fractal theory, and copula theory.

Fabrizio Durante is Full Professor of Mathematical Methods of Economics, Finance and Actuarial Sciences at the University of Salento, Lecce, Italy. From 2006 until 2010, he worked at the Johannes Kepler University Linz, Austria, where he obtained his habilitation in Mathematics in 2010. From 2010 to 2016 he worked as Assistant and, subsequently, Associate Professor of Statistics at the Free University of Bozen-Bolzano, Italy. His research activities focus on the fields of dependence and copula models, with particular emphasis on applications in financial risk management, reliability theory, and environmental science (especially hydrology). He is author (together with Carlo Sempi) of the monograph “Principles of Copula Theory”, and he co-edited three books devoted to copula theory and its applications published by Springer. Currently, he is Associate Editor of the journal “Computational Statistics and Data Analysis", “Dependence Modeling" and “Statistical Methods and Applications”.

Juan Fernández Sánchez studied at the University of Granada, Spain, and obtained his doctoral degree (outstanding doctorate award) in Mathematics at the University of Almería, Spain, under the supervision of Enrique de Amo. He was Assistant Professor at the University of Granada and, later, he has worked for the Junta of Andalucía, Spain. He is a member of the Research Group of Mathematical Analysis at the University of Almería and of the research project “Applications of Measure Theory and Copula Theory. Construction of Stochastic Models" His fields of interest and research are the peculiar functions (nowhere continuous differentiable function, singular function, etc.), measure theory, fractal theory, and copulas and quasi-copulas.

Manuel Úbeda Flores is Associate Professor of Applied Mathematics at the Department of Mathematics at the University of Almería, Spain, where he obtained his doctoral degree in Mathematics. His research activity focuses on copulas and dependence models.

Bibliographic information