dependence modeling with copulas chapman hall crc monographs on statistics applied probability

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Dependence Modeling With Copulas

Author : Harry Joe
ISBN : 9781466583221
Genre : Mathematics
File Size : 64. 13 MB
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Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured factor models that extend from the Gaussian assumption to copulas. It also discusses other multivariate constructions and parametric copula families that have different tail properties and presents extensive material on dependence and tail properties to assist in copula model selection. The author shows how numerical methods and algorithms for inference and simulation are important in high-dimensional copula applications. He presents the algorithms as pseudocode, illustrating their implementation for high-dimensional copula models. He also incorporates results to determine dependence and tail properties of multivariate distributions for future constructions of copula models.

Copulas And Dependence Models With Applications

Author : Manuel Úbeda Flores
ISBN : 9783319642215
Genre : Mathematics
File Size : 30. 19 MB
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This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.

A Multivariate Claim Count Model For Applications In Insurance

Author : Daniela Anna Selch
ISBN : 9783319928685
Genre : Mathematics
File Size : 61. 89 MB
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This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications. Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts). The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions. Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required.

Copulae And Multivariate Probability Distributions In Finance

Author : Alexandra Dias
ISBN : 9781317976912
Genre : Business & Economics
File Size : 43. 82 MB
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Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

Multivariate Models And Multivariate Dependence Concepts

Author : Harry Joe
ISBN : 0412073315
Genre : Mathematics
File Size : 50. 62 MB
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This book on multivariate models, statistical inference, and data analysis contains deep coverage of multivariate non-normal distributions for modeling of binary, count, ordinal, and extreme value response data. It is virtually self-contained, and includes many exercises and unsolved problems.

Design Of Coastal Structures And Sea Defenses

Author : Kim Young C
ISBN : 9789814611022
Genre : Technology & Engineering
File Size : 47. 95 MB
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Coastal structures are an important component in any coastal protection scheme. They directly control wave and storm surge action or to stabilize a beach which provides protection to the coast.This book provides the most up-to-date technical advances on the design and construction of coastal structures and sea defenses.Written by renowned practicing coastal engineers, this edited volume focuses on the latest technology applied in planning, design and construction, effective engineering methodology, unique projects and problems, design and construction challenges, and other lesions learned.Many books have been written about the theoretical treatment of coastal and ocean structures. Much less has been written about the practical practice aspect of ocean structures and sea defenses. This comprehensive book fills the gap. It is an essential source of reference for professionals and researchers in the areas of coastal, ocean, civil, and geotechnical engineering.

Analysis Of Survival Data

Author : D.R. Cox
ISBN : 041224490X
Genre : Mathematics
File Size : 87. 35 MB
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This monograph contains many ideas on the analysis of survival data to present a comprehensive account of the field. The value of survival analysis is not confined to medical statistics, where the benefit of the analysis of data on such factors as life expectancy and duration of periods of freedom from symptoms of a disease as related to a treatment applied individual histories and so on, is obvious. The techniques also find important applications in industrial life testing and a range of subjects from physics to econometrics. In the eleven chapters of the book the methods and applications of are discussed and illustrated by examples.

Entscheidungsregeln Bei Risiko Multivariate Stochastische Dominanz

Author : Karl Mosler
ISBN : 9783642954191
Genre : Business & Economics
File Size : 22. 81 MB
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Konometrische Methoden

Author : Dieter Hochstädter
ISBN : 9783642876950
Genre : Mathematics
File Size : 70. 75 MB
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Vorkurs Mathematik

Author : Erhard Cramer
ISBN : 9783540267249
Genre : Business & Economics
File Size : 36. 31 MB
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