عنوان

Copula theory and its applications: proceedings of the workshop held in Warsaw, 25-26 September 2009

English

Copula theory and its applications: proceedings of the workshop held in Warsaw, 25-26 September 2009

Heidelberg; New York

Springer

c2010

xviii, 327 p.: ill.; 23 cm

Lecture notes in statistics-proceedings

198

Includes bibliographical references and index

Piotr Jaworski ... ]et al.[, editors

1

Copula theroy: an introduction / Fabrizio Durante and Carlo Sempi -- Dynamic modeling of dependence in finance via copulae between stochastic processes / Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niewegowski -- Copula estimation / Barbara Choros, Rustam Ibragimov and Elena Permiakova -- Pair-copula constructions of multivariate copulas / Claudia Czado -- Risk aggregation / Paul Embrechts and Giovanni Puccetti -- Extreme-value copulas / Gordon Gudendorf and Johan Segers -- Construction and sampling of nested Archimedean copulas / Marius Hofert -- Tail behaviour of copulas / Piotr Jaworski -- Copulae in reliability theory )order statistics, coherent systems( / Tomasz Rychlik -- Copula-based measures of multivariate association / Friedrich Schmid ... ]et al.[ -- Semi-copulas and interpretations of coincidences between stochastic dependence and ageing / Fabio Spizzichino -- A copula-based model for spatial and temporal dependence of equity markets / Umberto Cherubini ... ]et al.[ -- Nonparametric and semiparametric bivariate modeling of petrophysical porosity-permeability dependence from well log data / Arturo Erdely and Martin Diaz-Viera -- Testing under the extended Koziol-Green model / Auguste Gaddah and Roel Braekers -- Parameter estimation and application of the multivariate skew t-copula / Tonu Kollo and Gaida Pettere -- On analytical similarities of Archimedean and exchangeable Marshall-Olkin copulas / Jan-Frederik Mai and Matthias Schere -- Relationships between Archimedean copulas and Morgenstern utility functions / Jaap Spreeuw

Congresses ، Copulas )Mathematical statistics(

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AU Jaworski, Piotr)Andrzej Piotr(

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