Czasopismo
2009
|
Vol. 42, nr 3
|
567-579
Tytuł artykułu
Autorzy
Wybrane pełne teksty z tego czasopisma
Warianty tytułu
Języki publikacji
Abstrakty
The definition, terminology and possible forms of homogeneous expansion of copulas are given. The methodology that provides homogeneous expansions with a proof of their existence is presented. Numerous examples illustrating the usage of the main theorem for valuation of the expansions are indicated.
Słowa kluczowe
Czasopismo
Rocznik
Tom
Strony
567-579
Opis fizyczny
Bibliogr. 12 poz.
Twórcy
autor
- Faculty of Mathematics and Information Science Warsaw University of Technology Plac Politechniki 1 00-661 Warsaw, Poland, e.iwaniec@mini.pw.edu.pl
Bibliografia
- [1] Kjersti Aas, Modelling the Dependence Structure of Financial Assets: A Survey of Four Copulas, Norwegian Computing Center, 2004.
- [2] P. Embrechts, L. de Haan, X. Huang, Modeling Multivariate Extremes, Extremes and Integrated Risk Management, Risk Waters Group Ltd., 2000.
- [3] P. Embrechts, C. Kluppelberg, T. Mikosch, Modelling Extremal Events for Insurance and Finance, Stochastic Modelling and Applied Probability, 33, Springer-Verlag, London, 1997. Homogeneous expansions of copulas 579
- [4] P. Embrechts, A. McNeil, D. Straumann, Correlation and dependence in risk management: Properties and pitfalls, Dempster, M.A.H. (Ed.), Risk Management: Value at Risk and Beyond, Cambridge University Press, Cambridge, 2002, 176-223.
- [5] P. Embrechts, H. Schmidli, Modelling of extremal events in insurance and finance, Mathematical Methods of Operations Research 39, no. 1, (1994), 1-34,
- [6] G. M. Fichtenholz, Rachunek Rożniczkowy i Całkowy, 1, PWN.
- [7] G. Frahm, M. Junker, R. Schmidt, Estimating the tail-dependence coefficient: Properties and pitfalls, Insurance Math. Econom. 37 (2006), 80-100.
- [8] P. Jaworski, Asymptotyka dwuwymiarowych kopuli, Matematyka Stosowana 4 (2003), 78-89.
- [9] P. Jaworski, On uniform tail expansions of bivariate copulas, Applicationes Mathematicae 31, no. 4, (2004), 397-415,
- [10] H. Joe, Multivariate Models and Dependence Concepts, Monogr. Statist. Appl. Probab. 73, Chapman and Hall, London, 1997.
- [11] R. B. Nelsen, An Introduction to Copulas, Springer Series in Statistics, 2nd ed., Springer, New York, 2006.
- [12] A. Sklar, Fonctions de repartition a n dimensions et leur marges, Publications of the Institute of Statistics, University of Paris, 8 (1959) 229-231.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.baztech-article-PWA5-0025-0011