Journal ArticleDOI
On the simultaneous associativity of F(x, y) and x + y - F(x, y).
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This article is published in Aequationes Mathematicae.The article was published on 1979-12-01. It has received 947 citations till now.read more
Citations
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Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask
TL;DR: This paper presents an introduction to inference for copula models, based on rank methods, by working out in detail a small, fictitious numerical example, the various steps involved in investigating the dependence between two random variables and in modeling it using copulas.
Journal ArticleDOI
Statistical Inference Procedures for Bivariate Archimedean Copulas
TL;DR: In this paper, the authors examined the problem of selecting an Archimedean copula providing a suitable representation of the dependence structure between two variates X and Y in the light of a random sample (X 1, Y 1, X n, Y n ).
Journal ArticleDOI
Understanding Relationships Using Copulas
TL;DR: This article introduces actuaries to the concept of “copulas,” a tool for understanding relationships among multivariate outcomes, a function that links univariate marginals to their full multivariate distribution, and several families of copulas that have appeared in the literature.
Book ChapterDOI
Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management
TL;DR: One main aim of this paper is to show that when addressing the problem of simulating dependent data arises naturally in Monte Carlo approaches to risk management knowledge of copulas and copula based dependence concepts is important, and also the usefulness of copula ideas in this approach torisk management.
Omnibus Goodness-of-Fit Tests for Copulas: A Review and a Power Study
TL;DR: In this paper, the authors present a critical review of blanket tests for goodness-of-fit testing of copula models and suggest new ones, and conclude with a number of practical recommendations.
References
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Journal ArticleDOI
Lectures on Functional Equations and their Applications.
Journal ArticleDOI
On the Structure of Semigroups on a Compact Manifold With Boundary
Paul S. Mostert,Allen L. Shields +1 more
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Operations on distribution functions not derivable from operations on random variables.
Berthold Schweizer,A. Sklar +1 more