Publication:
Copulas in finance and insurance

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorRomera, Rosario
dc.contributor.authorMolanes, Elisa M.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2008-12-03T11:51:49Z
dc.date.available2008-12-03T11:51:49Z
dc.date.issued2008-11
dc.description.abstractCopulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used to replicate efficient frontiers or extremal values, to price options, to estimate joint risks, and so on. Using copulas, it is easy to construct and simulate from multivariate distributions based on almost any choice of marginals and any type of dependence structure. In this paper we outline recent contributions of statistical modeling using copulas in finance and insurance. We review issues related to the notion of copulas, copula families, copula-based dynamic and static dependence structure, copulas and latent factor models and simulation of copulas. Finally, we outline hot topics in copulas with a special focus on model selection and goodness-of-fit testing.
dc.format.mimetypeapplication/pdf
dc.identifier.repecws086321
dc.identifier.urihttps://hdl.handle.net/10016/3231
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries08-21
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherDependence structure
dc.subject.otherExtremal values
dc.subject.otherCopula modeling
dc.subject.otherCopula review
dc.titleCopulas in finance and insurance
dc.typeworking paper*
dspace.entity.typePublication
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