000 03929nam a22005655i 4500
001 978-3-642-12465-5
003 DE-He213
005 20140220084535.0
007 cr nn 008mamaa
008 100715s2010 gw | s |||| 0|eng d
020 _a9783642124655
_9978-3-642-12465-5
024 7 _a10.1007/978-3-642-12465-5
_2doi
050 4 _aQA276-280
072 7 _aPBT
_2bicssc
072 7 _aMAT029000
_2bisacsh
082 0 4 _a519.5
_223
100 1 _aJaworski, Piotr.
_eeditor.
245 1 0 _aCopula Theory and Its Applications
_h[electronic resource] :
_bProceedings of the Workshop Held in Warsaw, 25-26 September 2009 /
_cedited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2010.
300 _aXVIII, 327p. 50 illus., 25 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aLecture Notes in Statistics,
_x0930-0325 ;
_v198
505 0 _aSurveys -- Copula Theory: An Introduction -- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes -- Copula Estimation -- Pair-Copula Constructions of Multivariate Copulas -- Risk Aggregation -- Extreme-Value Copulas -- Construction and Sampling of Nested Archimedean Copulas -- Tail Behaviour of Copulas -- Copulae in Reliability Theory (Order Statistics, Coherent Systems) -- Copula-Based Measures of Multivariate Association -- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing -- Contributed Papers -- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets -- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data -- Testing Under the Extended Koziol-Green Model -- Parameter Estimation and Application of the Multivariate Skew t-Copula -- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas -- Relationships Between Archimedean Copulas and Morgenstern Utility Functions.
520 _aCopulas 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.
650 0 _aStatistics.
650 0 _aDistribution (Probability theory).
650 0 _aMathematical statistics.
650 0 _aEconomics
_xStatistics.
650 0 _aEconomics.
650 0 _aBanks and banking.
650 1 4 _aStatistics.
650 2 4 _aStatistical Theory and Methods.
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aFinance /Banking.
650 2 4 _aBusiness/Management Science, general.
700 1 _aDurante, Fabrizio.
_eeditor.
700 1 _aHärdle, Wolfgang Karl.
_eeditor.
700 1 _aRychlik, Tomasz.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783642124648
830 0 _aLecture Notes in Statistics,
_x0930-0325 ;
_v198
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-642-12465-5
912 _aZDB-2-SMA
999 _c112083
_d112083