標題: Titlebook: Copula Theory and Its Applications; Proceedings of the W Piotr Jaworski,Fabrizio Durante,Tomasz Rychlik Conference proceedings 2010 Springe [打印本頁] 作者: sulfonylureas 時間: 2025-3-21 17:37
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作者: acrobat 時間: 2025-3-21 23:05 作者: lethal 時間: 2025-3-22 01:44
Individual Lives and Social Histories,haviour of copulas like the ones based on conditional copulas or associated extreme value copulas. At the end we present possible applications of the notion of tail expansions to quantitative finance, especially to risk measurement.作者: 遺傳學 時間: 2025-3-22 05:18 作者: membrane 時間: 2025-3-22 08:45
Risk Aggregationc examples of actuarial and financial interest. In particular, we study Risk Aggregation under different mathematical set-ups, for different aggregating functionals? and risk measures 〉 , focusing on Value-at-Risk. We show how the theory of Mass Transportations and tools originally developed to solv作者: 做事過頭 時間: 2025-3-22 14:58
Tail Behaviour of Copulashaviour of copulas like the ones based on conditional copulas or associated extreme value copulas. At the end we present possible applications of the notion of tail expansions to quantitative finance, especially to risk measurement.作者: 做事過頭 時間: 2025-3-22 20:55
Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependencefore, we explore the use of the Bernstein copula, and we also look for an appropriate partition of the data into subsets for which the dependence strucure was simpler to model, and then a conditional gluing copula technique is applied to build the bivariate joint distribution for the whole data set作者: 邊緣 時間: 2025-3-22 22:52
0930-0325 and its most important applications.An up-to-date account aCopulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50‘s, copulas have gaine作者: 兇兆 時間: 2025-3-23 02:11
https://doi.org/10.1007/978-1-4039-1914-4 theorem) is inadequate for consistent valuation and hedging in time. In this survey we present recent developments in the area of modeling of dependence between stochastic processes with given marginal laws. Some of these results have already been successfully applied in finance in connection with the portfolio credit risk.作者: Ancillary 時間: 2025-3-23 07:26
Citizen Participation and Collaboration, Bayesian setting. This flexible class of multivariate copulas can be applied to model complex dependencies. Literature to applications in modeling financial data as well as Bayesian belief networks are provided. It closes with a section on open problems.作者: 過濾 時間: 2025-3-23 11:46
Collaboration and Modernisation,so be a convenient choice to model general positive dependence structures. The aim of this survey is to present the reader with the state-of-the-art in dependence modeling via extreme-value copulas. Both probabilistic and statistical issues are reviewed, in a nonparametric as well as a parametric context.作者: 解脫 時間: 2025-3-23 16:43 作者: 徹底明白 時間: 2025-3-23 21:30
Individual Lives and Social Histories,Gini’s gamma. Others rely on information theory or are based on .-distances of copulas. Various measures of multivariate tail dependence are derived by extending the coefficient of bivariate tail dependence. Nonparametric estimation of these measures based on the empirical copula is further addressed.作者: gnarled 時間: 2025-3-23 23:30
Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes theorem) is inadequate for consistent valuation and hedging in time. In this survey we present recent developments in the area of modeling of dependence between stochastic processes with given marginal laws. Some of these results have already been successfully applied in finance in connection with the portfolio credit risk.作者: 彩色 時間: 2025-3-24 06:25 作者: 配置 時間: 2025-3-24 07:04
Extreme-Value Copulasso be a convenient choice to model general positive dependence structures. The aim of this survey is to present the reader with the state-of-the-art in dependence modeling via extreme-value copulas. Both probabilistic and statistical issues are reviewed, in a nonparametric as well as a parametric context.作者: PARA 時間: 2025-3-24 12:09 作者: Commemorate 時間: 2025-3-24 17:48 作者: 束縛 時間: 2025-3-24 20:57 作者: 名字 時間: 2025-3-24 23:18 作者: 青石板 時間: 2025-3-25 04:41 作者: 殺人 時間: 2025-3-25 09:58
White Passage and Black Pedagogys about Archimedean copulas and their corresponding generator functions translate into equivalent statements about exchangeable Marshall-Olkin copulas and their parameterizing sequences. This chapter reviews classical and recent results on both families of copulas with a focus on completely monotone functions and sequences.作者: 反對 時間: 2025-3-25 13:38 作者: Apraxia 時間: 2025-3-25 16:51 作者: somnambulism 時間: 2025-3-25 22:32 作者: WAG 時間: 2025-3-26 00:36 作者: flutter 時間: 2025-3-26 07:22 作者: 樣式 時間: 2025-3-26 10:47 作者: 蜿蜒而流 時間: 2025-3-26 12:42 作者: Tinea-Capitis 時間: 2025-3-26 18:55
Conference proceedings 2010isks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.作者: 帶傷害 時間: 2025-3-26 22:46 作者: incarcerate 時間: 2025-3-27 02:27 作者: 高談闊論 時間: 2025-3-27 08:18 作者: adipose-tissue 時間: 2025-3-27 11:18 作者: 驚惶 時間: 2025-3-27 16:12
Construction and Sampling of Nested Archimedean Copulasmedean generators, it is usually not clear when the corresponding Archimedean copulas can be nested to build indeed a proper copula. This article presents interesting results about the construction of nested Archimedean copulas. The presented construction principles are directly linked to sampling algorithms, which are also discussed in this work.作者: podiatrist 時間: 2025-3-27 19:46
Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageingnted out in the literature. To this purpose we consider bivariate survival functions . and properties of them that are respectively invariant under transformations of the type . and ., for . increasing bijections. Bivariate Schur-constant survival models will have a central role in our discussion.作者: 小官 時間: 2025-3-27 22:57 作者: Bronchial-Tubes 時間: 2025-3-28 03:50
Citizen Participation and Collaboration, (D), canonical (C) and regular vines developed in [5] and [4]. Estimation and model selection methods are studied both in a classical as well as in a Bayesian setting. This flexible class of multivariate copulas can be applied to model complex dependencies. Literature to applications in modeling fi作者: Urologist 時間: 2025-3-28 09:16
Collaboration and Modernisation, Aggregation concerns the study of the aggregate financial position ., for some measurable function .. A risk measure . then maps . to ., to be interpreted as the regulatory capital needed to be able to hold the aggregate position . over a predetermined fixed time period. Risk Aggregation has often 作者: 掙扎 時間: 2025-3-28 13:48
Collaboration and Modernisation,ls for the dependence structure between rare events. Extreme-value copulas not only arise naturally in the domain of extreme-value theory, they can also be a convenient choice to model general positive dependence structures. The aim of this survey is to present the reader with the state-of-the-art i作者: legacy 時間: 2025-3-28 14:38 作者: 傾聽 時間: 2025-3-28 19:20
Individual Lives and Social Histories,lar’s Theorem such tasks decompose into the study of the tail behaviour of the marginal univariate distributions and of the tail (i.e. corner) behaviour of the corresponding copulas. In this chapter we will deal with the second "subproblem". There are several approaches known in the literature.We sh作者: Intuitive 時間: 2025-3-29 01:46 作者: 媽媽不開心 時間: 2025-3-29 05:39 作者: Androgen 時間: 2025-3-29 08:34
Individual Lives and Social Histories,nted out in the literature. To this purpose we consider bivariate survival functions . and properties of them that are respectively invariant under transformations of the type . and ., for . increasing bijections. Bivariate Schur-constant survival models will have a central role in our discussion.作者: 致敬 時間: 2025-3-29 15:06
White Passage and Black Pedagogy Market Hypothesis and of the martingale pricing approach, we provide a model in which prices are martingales both with respect to their own filtration and to the enlarged multivariate filtration. We show that if the log-prices follow processes with independent increments and each one of them is not作者: 宣傳 時間: 2025-3-29 16:12
White Passage and Black Pedagogyt, and the optimal exploitation management. Generally, permeability evaluation is performed using porosity-permeability relationships obtained by integrated analysis of various petrophysical measurements taken from cores and wireline well logs. Dependence relationships between pairs of petrophysical作者: 情節(jié)劇 時間: 2025-3-29 21:38
The Crisis of Race in the New Millenniumor the first type of informative censoring, we allow the censoring time to depend on the lifetime through an Archimedean copula function. For the second type, we generalize the relationship between the marginal distributions of the censoring time and lifetime by means of another copula function on t作者: Canary 時間: 2025-3-30 03:30 作者: 合并 時間: 2025-3-30 07:39
White Passage and Black Pedagogyrom a probabilistic perspective, the models behind both families have a different motivation. Consequently, their statistical properties are also different. In this regard, their striking analytical similarities are even more surprising. Considering sequences as discretized functions, most statement作者: tattle 時間: 2025-3-30 10:54
The Crisis of Race in the New Millenniumaversion decision makers) are nondecreasing and concave. In this presentation, relationships between generators and utility functions are established. For some well known Archimedean copula families, links between the generator and the corresponding utility function are demonstrated. Some new copula作者: TRAWL 時間: 2025-3-30 13:53
Copula Theory and Its Applications978-3-642-12465-5Series ISSN 0930-0325 Series E-ISSN 2197-7186 作者: outrage 時間: 2025-3-30 17:07 作者: Mendicant 時間: 2025-3-30 21:38
Individual Lives and Social Histories,nted out in the literature. To this purpose we consider bivariate survival functions . and properties of them that are respectively invariant under transformations of the type . and ., for . increasing bijections. Bivariate Schur-constant survival models will have a central role in our discussion.作者: WITH 時間: 2025-3-31 02:46
https://doi.org/10.1007/978-1-4039-1914-4In this survey we review the most important properties of copulas, several families of copulas that have appeared in the literature, and which have been applied in various fields, and several methods of constructing multivariate copulas.作者: 單調性 時間: 2025-3-31 08:16
