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Non transitivity of correlation for random vectors in dimension 3
Dependence in dimension 2 is difficult. But one has to admit that dimension 2 is way more simple than dimension 3 ! I recently rediscovered a nice paper, Langford, Schwertman & Owens (2001), on...
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Copulas and tail dependence, part 2
An alternative to describe tail dependence can be found in the Ledford & Tawn (1996) for instance. The intuition behind can be found in Fischer & Klein (2007)). Assume that and have the same...
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Copulas and tail dependence, part 3
We have seen extreme value copulas in the section where we did consider general families of copulas. In the bivariate case, an extreme value can be written where is Pickands dependence function, which...
View ArticleDependence in Finance and Insurance, Aegina, Greece
I will present results of the pricing games at the conference on Recent Developments in Dependence Modelling with Applications in Finance and Insurance in in Αίγινα, Greece tomorrow. Slides are now...
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