RT Generic
T1 Copulas in finance and insurance
A1 Romera, Rosario
A1 Molanes, Elisa M.
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB Copulas provide a potential useful modeling tool to represent the dependence structureamong variables and to generate joint distributions by combining given marginaldistributions. Simulations play a relevant role in finance and insurance. They are used toreplicate efficient frontiers or extremal values, to price options, to estimate joint risks, and soon. Using copulas, it is easy to construct and simulate from multivariate distributions basedon almost any choice of marginals and any type of dependence structure. In this paper weoutline 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 andstatic 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 andgoodness-of-fit testing.
YR 2008
FD 2008-11
LK https://hdl.handle.net/10016/3231
UL https://hdl.handle.net/10016/3231
LA eng
DS e-Archivo
RD 31 may. 2024