Copula Theory and Its Applications

Proceedings of the Workshop Held in Warsaw, 25-26 September 2009

  • Piotr Jaworski
  • Fabrizio Durante
  • Wolfgang Karl Härdle
  • Tomasz Rychlik

Part of the Lecture Notes in Statistics book series (LNS, volume 198)

Also part of the Lecture Notes in Statistics - Proceedings book sub series (LNSP, volume 198)

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Surveys

    1. Front Matter
      Pages 1-1
    2. Fabrizio Durante, Carlo Sempi
      Pages 3-31
    3. Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski
      Pages 33-76
    4. Barbara Choroś, Rustam Ibragimov, Elena Permiakova
      Pages 77-91
    5. Paul Embrechts, Giovanni Puccetti
      Pages 111-126
    6. Gordon Gudendorf, Johan Segers
      Pages 127-145
    7. Piotr Jaworski
      Pages 161-186
    8. Friedrich Schmid, Rafael Schmidt, Thomas Blumentritt, Sandra Gaißer, Martin Ruppert
      Pages 209-236
  3. Contributed Papers

    1. Front Matter
      Pages 255-255
    2. Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, Silvia Romagnoli
      Pages 257-265
    3. Auguste Gaddah, Roel Braekers
      Pages 279-288

About these proceedings

Introduction

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.

Keywords

Measure Random variable Stochastic Processes Stochastic model Stochastic models modeling stochastic process

Editors and affiliations

  • Piotr Jaworski
    • 1
  • Fabrizio Durante
    • 2
  • Wolfgang Karl Härdle
    • 3
  • Tomasz Rychlik
    • 4
  1. 1., Faculty of Mathematics InformaticsUniversity of WarsawWarszawaPoland
  2. 2., Department of Knowledge-BasedJohannes Kepler UniversitätLinzAustria
  3. 3.Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics aHumboldt-Universität zu BerlinBerlinGermany
  4. 4., Mathematical InstitutePolish Academy of SciencesToruńPoland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-12465-5
  • Copyright Information Springer Berlin Heidelberg 2010
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-12464-8
  • Online ISBN 978-3-642-12465-5
  • Series Print ISSN 0930-0325
  • About this book