between variables. In particular, all common measures of dependence can be given in terms of the copula function. Modeling … theorem, the copula function captures the dependency between variables, with the impact of the marginal distributions being … eliminated. The Sklar’s Theorem allows to express the copula function directly by C(u1;:::;uk) = FfF¡11 (u1);:::;F¡1k (uk)g; u1 …

copula function. Copula based models represent a wide model class and one can show that popular duration models are in fact … model with two risks and a known copula function with known parameters. Their nonparametric estimator is known as the Copula …(t) and Qj(tj) can be estimated, the true copula function CJ has to be known or to be assumed. There are many difierent …

. The basic idea of a copula function is to link marginal distributions together to a joint distribution (Sklar 1959). An …. For that purpose the probability distribution of the joint losses is estimated using copulas. Once the copula function and … copula function appropriately in a sense of matching the multivariate data? As with the estimation of any distribution …