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Document type:
Bachelorarbeit 
Author(s):
Grobosch, Sonja 
Title:
Archimedean and elliptical copulas 
Abstract:
Aim of this paper is to introduce some general theory of copulas, to present some of their useful properties, such as the invariance under strictly increasing transformations and to introduce Archimedean and elliptical copulas. In many areas like for example in modeling credit derivatives or for calculations in actuarial science, the different risk usually can't be assumed to be independent. Thus one needs to consider different risks occurring at the same time affecting each other. One often has...    »
 
Keywords:
Copula, Archimedean copula, elliptical distribution, elliptical copula, correla- tion, Kendall's Tau, Spearman's Rho 
Referee:
Prof. Dr. Matthias Scherer 
Date of acceptation:
29.03.2011 
Year:
2011 
University:
Technische Universität München 
Format:
Text