Copulæ: Some mathematical aspects

Carlo Sempi

21 citations0/0 files storedApplied Stochastic Models in Business and Industry

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

Abstract

Abstract This paper starts with a few critical considerations about the use of copulas in applications, mainly in the field of Mathematical Finance. Two points will be stressed: (i) the construction of asymmetric copulas and (ii) the construction of multivariate copulas. Also, it briefly touches on the long‐standing problem of compatibility. Copyright © 2010 John Wiley & Sons, Ltd.

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References

1999An Introduction to Copulas 2004Copula Methods in Finance 1998Understanding Relationships Using Copulas 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 1997Axiomatic characterization of insurance prices 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2014Extremes in Nature: An Approach Using Copulas

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