Dependence Modeling with Copulas covers the substantial advances that have taken place
in the field during the last 15 years, including vine copula modeling of high-dimensional …

The official history of copulas begins in 1959 with Sklar [1959]; but, as is often the case in
Mathematics, for groundbreaking results there are forerunners and precedents. These latter …

The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …

It is shown that a necessary and sufficient condition for an Archimedean copula generator to
generate ad-dimensional copula is that the generator is ad-monotone function. The class of …

So-called pair copula constructions (PCCs), specifying multivariate distributions only in
terms of bivariate building blocks (pair copulas), constitute a flexible class of dependence …

We compare some popular CDO pricing models, related to the bottom-up approach.
Dependence between default times is modelled through Gaussian, stochastic correlation …

We discuss a Lévy multivariate model for financial assets which incorporates jumps,
skewness, kurtosis and stochastic volatility. We use it to describe the behaviour of a series of …

In summer of 2010, the first author (HL) visited the second author (XL) at Lanzhou University,
China, and chaired the dissertation defense for XL's two graduating doctoral students …

A complete and user-friendly directory of tails of Archimedean copulas is presented which
can be used in the selection and construction of appropriate models with desired properties …

We consider a totally monotone capacity on a Polish space and a sequence of bounded piid
random variables. We show that, on a full set, any cluster point of empirical averages lies …