Copulas: A personal view
نویسنده
چکیده
Copula modeling has taken the world of finance and insurance, and well beyond, by storm. Why is this? In this paper I review the early start of this development, discuss some important current research, mainly from an applications point of view, and comment on potential future developments. An alternative title of the paper would be “Demystifying the copula craze”. The paper also contains what I would like to call the copula must-reads.
منابع مشابه
Baire category results for exchangeable copulas
Considering two different metrics on the space of two-dimensional copulas C we prove some Baire category results for important subclasses of copulas, including the families of exchangeable, associative, and Archimedean copulas. From the point of view of Baire categories, with respect to the uniform metric d∞, a typical copula is not symmetric and a typical symmetric copula is not associative, w...
متن کاملInvariant dependence structures and Archimedean copulas
We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practi...
متن کاملCopulas: an open ...eld for risk management
One of the main issues of risk management is the aggregation of individual risks. A powerful concept to aggregate the risks — the copula function — has been introduced in ...nance by Embrechts, McNeil, and Straumann [1999,2000]. In their papers, the authors clarify the essential concepts of dependence and correlation and certainly will greatly in‡uence the risk management industry. The goal of ...
متن کاملCopulas: an open field for risk management
One of the main issues of risk management is the aggregation of individual risks. A powerful concept to aggregate the risks — the copula function — has been introduced in finance by Embrechts, McNeil, and Straumann [1999,2000]. In their papers, the authors clarify the essential concepts of dependence and correlation and certainly will greatly influence the risk management industry. The goal of ...
متن کاملOn the Subadditivity of Tail-Value at Risk: An Investigation with Copulas
In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance company. We assume that the required solvency level is determined using the Tail-Value at Risk and analyze the diversification benefit, both on the required capital and on the residual risk, when merging risks. To describe the dependence structure, we use a range of v...
متن کامل