Copulas in insurance
Details
Serval ID
serval:BIB_844EE0EF3FA0
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Copulas in insurance
Journal
Encyclopedia of Quantitative Finance
Publication state
Published
Issued date
2010
Peer-reviewed
Oui
Pages
379-382
Language
english
Abstract
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.
Keywords
comonotonicity, countermonotonicity, copula, Hoeffding's theorem, rank correlations, ruin theory, Sklar's theorem, subexponentiality
Publisher's website
Create date
23/08/2011 9:05
Last modification date
20/08/2019 15:43
Usage data
