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A review of some families of copulas
- Speaker(s)
- Fabrizio Durante
- Affiliation
- Johannes Kepler University, Linz
- Date
- June 4, 2008, 2:15 p.m.
- Room
- room 5820
- Seminar
- Seminar of the Group of Mathematical Methods in Economy, Finances and Insuarance
In this talk, we present the basic concepts about copulas, which have gained a lot of popularity during the last years, especially in view of their applications to finance, insurance and risk models.In particular, we will concentrate our attention to the construction of suitable statistical models based on bivariate copulas. Such constructions, which are in essence of a geometric nature, allow to have a great flexibility in modelling pairs of random variables that exhibt different behaviours in their joint tails.
