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Copula Theory and Its Applications

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

  • Conference proceedings
  • © 2010

Overview

Editors:
  1. Piotr Jaworski

    1. , Faculty of Mathematics Informatics, University of Warsaw, Warszawa, Poland

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  2. Fabrizio Durante

    1. , Department of Knowledge-Based, Johannes Kepler Universität, Linz, Austria

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  3. Wolfgang Karl Härdle

    1. Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Berlin, Germany

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  4. Tomasz Rychlik

    1. , Mathematical Institute, Polish Academy of Sciences, Toruń, Poland

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  • A new reference book for copula-based stochastic models
  • A series of survey papers provides to the reader a general
  • overview to copula theory and its most important applications
  • An up-to-date account about recent developments in
  • Includes supplementary material: sn.pub/extras

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

Part of the book sub series: Lecture Notes in Statistics - Proceedings (LNSP)

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Table of contents (17 papers)

  1. Front Matter

    Pages i-xviii
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  2. Surveys

    1. Front Matter

      Pages 1-1
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    2. Copula Theory: An Introduction

      • Fabrizio Durante, Carlo Sempi
      Pages 3-31

    3. Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes

      • Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski
      Pages 33-76

    4. Copula Estimation

      • Barbara Choroś, Rustam Ibragimov, Elena Permiakova
      Pages 77-91

    5. Pair-Copula Constructions of Multivariate Copulas

      • Claudia Czado
      Pages 93-109

    6. Risk Aggregation

      • Paul Embrechts, Giovanni Puccetti
      Pages 111-126

    7. Extreme-Value Copulas

      • Gordon Gudendorf, Johan Segers
      Pages 127-145

    8. Construction and Sampling of Nested Archimedean Copulas

      • Marius Hofert
      Pages 147-160

    9. Tail Behaviour of Copulas

      • Piotr Jaworski
      Pages 161-186

    10. Copulae in Reliability Theory (Order Statistics, Coherent Systems)

      • Tomasz Rychlik
      Pages 187-208

    11. Copula-Based Measures of Multivariate Association

      • Friedrich Schmid, Rafael Schmidt, Thomas Blumentritt, Sandra Gaißer, Martin Ruppert
      Pages 209-236

    12. Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing

      • Fabio Spizzichino
      Pages 237-254

  3. Contributed Papers

    1. Front Matter

      Pages 255-255
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    2. A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets

      • Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, Silvia Romagnoli
      Pages 257-265

    3. Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data

      • Arturo Erdely, Martin Diaz-Viera
      Pages 267-278

    4. Testing Under the Extended Koziol-Green Model

      • Auguste Gaddah, Roel Braekers
      Pages 279-288

    5. Parameter Estimation and Application of the Multivariate Skew t-Copula

      • Tõnu Kollo, Gaida Pettere
      Pages 289-298

    6. On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas

      • Jan-Frederik Mai, Matthias Scherer
      Pages 299-309

    7. Relationships Between Archimedean Copulas and Morgenstern Utility Functions

      • Jaap Spreeuw
      Pages 311-322
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Keywords

About this book

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.

Editors and Affiliations

  • , Faculty of Mathematics Informatics, University of Warsaw, Warszawa, Poland

    Piotr Jaworski

  • , Department of Knowledge-Based, Johannes Kepler Universität, Linz, Austria

    Fabrizio Durante

  • Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Berlin, Germany

    Wolfgang Karl Härdle

  • , Mathematical Institute, Polish Academy of Sciences, Toruń, Poland

    Tomasz Rychlik

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