Copulas and Dependence Models with Applications -

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Editeur : Springer International Publishing Ag

Langue : Anglais

Parution : 01/10/2017

Format : Moyen, de 350g à 1kg

Nombre de pages : 276

Expédition : 582

Dimensions : 24.1 x 16.0 x 2.1

ISBN : 9783319642208

Résumé :

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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Biographie:

Constructions of copulas under prescribed sections.-?The Gumbel-Marshall-Olkin distribution.-?A look at copulas in a curved mirror.-?Copula-based clustering methods.-?Copula-based piecewise regression.-?When Gumbel met Galambos.-?On the conditional Value-at-Risk (CoVaR) in copula setting.-?Parametric copula families for statistical models.-?Copula constructions using ultramodularity.-?Operations on finite settings: From triangular norms to copulas.-?My meetings with Roger B. Nelsen.-?Improved Hoeffding-Fr?chet bounds and applications to VaR?estimates.-?Quasi-copulas: A brief survey.-?Complete dependence everywhere?.-?Sklar's theorem: The cornerstone of the theory of copulas.

Sommaire:

Enrique de Amo Artero?is?Associate Professor of Mathematical Analysis at the Department of Mathematics at the University of Almer?a, 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 theFree 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 Fern?ndez S?nchez?studied at the University of Granada, Spain, and obtained his doctoral degree (outstanding doctorate award) in Mathematics at the University of Almer?a, 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 Andaluc?a, Spain. He is a member of the ResearchGroup of Mathematical Analysis at the University of Almer?a 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 ?beda Flores?is Associate Professor of Applied Mathematics at the Department of Mathematics at the University of Almer?a, Spain, where he obtained his doctoral degree in Mathematics. His research activity focuses on copulas and dependence models.