Change-Point Analysis for Dependence Structures in Finance and Insurance

Over the recent years, both in finance and insurance, the modelling of dependence beyond linear correlation has become a key area of research. The notion of copula has been used with success in order to model these more general dependence concepts. We will discuss changes in dependence structures by using change-point techniques for specific parametric copula families. Besides some basic theory, some applied examples will be presented

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Year of publication:	2014
Authors:	Dias, Alexandra
Other Persons:	Embrechts, Paul (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Versicherung \| Insurance \| Strukturiertes Produkt \| Structured product \| Risikomanagement \| Risk management
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: In: Risk Measures for the 21st Century, Giorgio Szegoe (Ed.), Wiley Finance Series, 2004, pp. 321-335 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2001 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013051141