Copulas in insurance

Détails

ID Serval
serval:BIB_844EE0EF3FA0
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Copulas in insurance
Périodique
Encyclopedia of Quantitative Finance
Auteur(s)
Chavez-Demoulin V., Embrechts P.
Statut éditorial
Publié
Date de publication
2010
Peer-reviewed
Oui
Pages
379-382
Langue
anglais
Résumé
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.
Mots-clé
comonotonicity, countermonotonicity, copula, Hoeffding's theorem, rank correlations, ruin theory, Sklar's theorem, subexponentiality
Création de la notice
23/08/2011 9:05
Dernière modification de la notice
03/03/2018 18:54
Données d'usage