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Change-point analysis for dependence structures in finance and insurance

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posted on 2016-04-21, 10:16 authored by Alexandra Da Costa Dias, P. Embrechts
Over the recent years, both in finance and insurance, the modelling of dependence beyond linear correlation has become a key area of research. The notion of copula has been used with success in order to model these more general dependence concepts. We will discuss changes in dependence structures by using change-point techniques for specific parametric copula families. Besides some basic theory, some applied examples will be presented.

History

Citation

Da Costa Dias, A;Embrechts, P, Change-point analysis for dependence structures in finance and insurance, ed. Szegoe, G, 'Risk Measures for the 21st Century', Wiley, 2004, pp. 321-335

Author affiliation

/Organisation/COLLEGE OF SOCIAL SCIENCES, ARTS AND HUMANITIES/School of Management

Version

  • AM (Accepted Manuscript)

Published in

Da Costa Dias

Publisher

Wiley

isbn

0470861541;978-0-470-86154-7

Copyright date

2004

Publisher version

http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470861541.html

Editors

Szegoe, G.

Book series

Wiley Finance Series;

Language

en

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