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  • Conference proceedings
  • © 2017

Copulas and Dependence Models with Applications

Contributions in Honor of Roger B. Nelsen

Editors:

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  • Collects latest findings and survey papers on copula models and distributions with given marginals

  • Discusses interesting applications of copula theory, mainly in Economics and Finance

  • Celebrates the contribution of Roger B. Nelsen to copula theory, including his biography and bibliography

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  • ISBN: 978-3-319-64221-5
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Table of contents (16 papers)

  1. Front Matter

    Pages i-xvii
  2. Constructions of copulas under prescribed sections

    • Enrique de Amo, Manuel Díaz Carrillo, Juan Fernández Sánchez
    Pages 1-19
  3. The Gumbel-Marshall-Olkin distribution

    • Umberto Cherubini, Sabrina Mulinacci
    Pages 21-31
  4. A look at copulas in a curved mirror

    • Bernard De Baets, Hans De Meyer
    Pages 33-47
  5. Copula–based clustering methods

    • F. Marta L. Di Lascio, Fabrizio Durante, Roberta Pappadà
    Pages 49-67
  6. Copula-based piecewise regression

    • Arturo Erdely
    Pages 69-81
  7. When Gumbel met Galambos

    • Christian Genest, Johanna G. Nešlehová
    Pages 83-93Open Access
  8. Copula constructions using ultramodularity

    • Erich Peter Klement, Anna Kolesárová, Radko Mesiar, Susanne Saminger-Platz
    Pages 135-156
  9. Operations on Finite Settings: from Triangular Norms to Copulas

    • Gaspar Mayor, Jaume Suñer, Joan Torrens
    Pages 157-170
  10. My meetings with Roger B. Nelsen

    • José Juan Quesada-Molina
    Pages 171-180
  11. Quasi–copulas: a brief survey

    • Carlo Sempi
    Pages 203-224
  12. Complete dependence everywhere?

    • Wolfgang Trutschnig
    Pages 225-240
  13. Sklar’s theorem: The cornerstone of the Theory of Copulas

    • Manuel Úbeda-Flores, Juan Fernández-Sánchez
    Pages 241-258
  14. Erratum to: When Gumbel met Galambos

    • Christian Genest, Johanna G. Nešlehová
    Pages E1-E1

About this book

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

  • Department of Mathematics, University of Almería, Almería, Spain

    Manuel Úbeda Flores, Enrique de Amo Artero

  • Dipartimento di Scienze dell’Economia , Università del Salento , Lecce, Italy

    Fabrizio Durante

  • Research Group of Mathematical Analysis, University of Almería, Almería, Spain

    Juan Fernández Sánchez

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

Buying options

eBook
USD 119.00
Price excludes VAT (USA)
  • ISBN: 978-3-319-64221-5
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book
USD 159.99
Price excludes VAT (USA)
Hardcover Book
USD 159.99
Price excludes VAT (USA)