Modelling Dependence with Copulas - IFOR
Modelling Dependence with Copulas - IFOR
Modelling Dependence with Copulas - IFOR
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
References<br />
References<br />
[1] Dhaene J. and Denuit M. (1999) The safest dependence structure among risks,<br />
Insurance: Mathematics and Economics 25, 11-21.<br />
[2] Embrechts P., McNeil A.J. and Straumann D. (1999) Correlation: Pitfalls and<br />
Alternatives, RISK 12(5), 69-71.<br />
[3] Embrechts P., McNeil A.J. and Straumann D. (1999) Correlation and <strong>Dependence</strong><br />
in Risk Management: Properties and Pitfalls, Preprint ETH Zürich,<br />
available from http://www.math.ethz.ch/ ∼embrechts.<br />
[4] Embrechts P., Klüppelberg C. and Mikosch T. (1997) <strong>Modelling</strong> Extremal<br />
Events for Insurance and Finance, Springer, Berlin.<br />
[5] Fang K.-T., Kotz S. and Ng K.-W. (1987) Symmetric Multivariate and Related<br />
Distributions, Chapman & Hall, London.<br />
[6] Joe H. (1997) Multivariate Models and <strong>Dependence</strong> Concepts, Chapman & Hall,<br />
London.<br />
[7] Johnson M.E. (1987) Multivariate Statistical Simulations, John Wiley & Sons,<br />
New York.<br />
[8] Johnson N.L. and Kotz S. (1972) Distributions in Statistics: Continuous Multivariate<br />
Distributions, John Wiley & Sons, New York.<br />
[9] Lee L. (1979) Multivariate distributions having Weibull properties, Journal of<br />
Multivariate Analysis, 9, 267-277.<br />
[10] Li D.X. (1999) The valuation of basket credit derivatives, CreditMetrix Monitor,<br />
4, 34-50.<br />
[11] Marshall A.W. and Olkin I. (1983) Domains of attraction of multivariate extreme<br />
value distributions, The Annals of Probability, 111, 168-177.<br />
[12] Müller A. and Bäuerle N. (1998) <strong>Modelling</strong> and comparing dependencies in<br />
multivariate risk portfolios, ASTIN Bulletin, 281, 59-76.<br />
[13] Nelsen R.B. (1999) An Introduction to <strong>Copulas</strong>, Springer, New York.<br />
[14] Ripley B.D. (1987) Stochastic Simulation, John Wiley & Sons, New York.<br />
[15] Schweizer B. and Sklar A. (1983) Probabilistic Metric Spaces, North-Holland,<br />
New York.<br />
[16] Sklar A. (1996) Random variables, distribution functions, and copulas – a<br />
personal look backward and forward, Distributions <strong>with</strong> Fixed Marginals and<br />
Related Topics, ed.byL.Rüschendorff, B. Schweizer, and M.D. Taylor, 1-14,<br />
Hayward, CA. Institute of Mathematical Statistics<br />
[17] Tiit, E. (1996) Mixtures of multivariate quasi-extremal distributions having<br />
given marginals, Distributions <strong>with</strong> Fixed Marginals and Related Topics, ed.<br />
by L. Rüschendorff, B. Schweizer, and M.D. Taylor, 337-357, Hayward, CA.<br />
Institute of Mathematical Statistics<br />
87
Change language