Copulas: A Personal View

被引：107
作者：
Embrechts, Paul [1 ]
机构：
[1] Swiss Fed Inst Technol, Dept Math, Zurich, Switzerland
来源：
JOURNAL OF RISK AND INSURANCE | 2009年 / 76卷 / 03期
关键词：
DISTRIBUTIONS; RISK;
D O I：
10.1111/j.1539-6975.2009.01310.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
P>Copula modeling has taken the world of finance and insurance, and well beyond, by storm. Why is this ? In this article, I review 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 I would like to call the copula must-reads.
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收藏
页码：639 / 650
页数：12
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