Centro de Documentación de Fundación MAPFRE

MAP20090089075

Copulas : a personal view / Paul Embrechts

Sumario: Copula modeling has taken the world of finance and insurance, and well beyond, by storm. Why is this? In this article, the author reviews the early start of this development, discuss some important current research, mainly from an applications point of view, and comment on potential future developments. An alternative title of the article would be "demystifying the copula craze". The article also contains what the author would likes to call the copula must-reads

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/09/2009 Tomo 76 Número 3 - 2009, p. 639-650

1. Técnicas estadísticas multivariantes . 2. Modelización mediante cópulas . 3. Riesgo financiero . 4. Matemática del seguro . 5. Modelos actuariales . 6. Transferencia Alternativa de Riesgos .