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Copula Theory and Its Applications

Copula Theory and Its Applications

Softcover - 9783642124648
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Beschreibung

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.

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

Details

Verlag Springer Berlin
Ersterscheinung 24. Juli 2010
Maße 23.5 cm x 15.5 cm
Gewicht 528 Gramm
Format Softcover
ISBN-13 9783642124648
Seiten 327

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