Pesquisa de referências

Copulas in finance and insurance

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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084  ‎$a‎6
1001 ‎$0‎MAPA20090035010‎$a‎Romera, Rosario
24510‎$a‎Copulas in finance and insurance‎$c‎Rosario Romera and Elisa M. Molanes
520  ‎$a‎Copulas provide a potential useful modeling tool to represent the dependence structureamong 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 is outlined recent contributions of statistical modeling using copulas in finance and insurance. It's reviewed 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, it's outlined hot topics in copulas with a special focus on model selection and goodness-of-fit testing
650 1‎$0‎MAPA20080632151‎$a‎Técnicas estadísticas multivariantes
650 1‎$0‎MAPA20090035034‎$a‎Modelización mediante cópulas
650 1‎$0‎MAPA20080615611‎$a‎Teoría del valor extremo
650 1‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 1‎$0‎MAPA20080582418‎$a‎Riesgo financiero
7001 ‎$0‎MAPA20090035027‎$a‎Molanes, Elisa M.
7730 ‎$t‎Economía Financiera‎$d‎Madrid : Especial Directivos‎$h‎nº 17, mayo 2009 ; p. 70-97