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Document type:
Zeitschriftenaufsatz 
Author(s):
Haug, S., Klüppelberg, C. and Peng, L. 
Title:
Statistical models and methods for dependence in insurance data 
Abstract:
Copulas are becoming a quite flexible tool in modeling dependence among the components of a multivariate vector. In order to predict extreme losses in insurance and finance, extreme value copulas and tail copulas play a more important role than copulas. In this paper, we review some estimation and testing procedures for both, extreme value copulas and tail copulas, which received much less attention in the literature than corresponding studies of copulas. 
Keywords:
Copula, dependence modelling, extreme dependence, extreme risk, extreme value copula, inference for copulas, interval estimation, multivariate statistics, point estimation, risk estimation, risk modeling, tail copula, tail dependence coefficient, hypothesis testing. 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Journal of the Korean Statistical Society 
Year:
2011 
Journal volume:
40 
Journal issue:
Pages contribution:
125-139 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
Semester:
SS 11 
Format:
Text