Modeling dependence in finance and insurance: the copula approach

Abstract
This paper contains a survey over the mathematical foundations, properties and potential applications of copulas in insurance and finance. Special emphasis is put on relationships between copulas and correlation as well as dependence measures, parametric families of copulas, Archimedian copulas (in particular in higher dimensions), tail dependence and general stochastic processes.
Volume
26
Page
177‐191
Number
2
Year
2003
Categories
New Risk Measures
Publications
Blätter der DGVFM
Authors
Pfeifer, Dietmar
Nešlehová, Johana