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Copulas in insurance
Encyclopedia of Quantitative Finance
The modeling of dependence has increasingly become one of the key issues in insurance. We highlight the use as well as the misuse of the concept of copula in this context. The main themes are the use of copula methodology in quantitative risk management and actuarial ruin theory.
comonotonicity, countermonotonicity, copula, Hoeffding's theorem, rank correlations, ruin theory, Sklar's theorem, subexponentiality
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