Statistical Inference for Copula and Tail Copula Models with Applications to Finance and Insurance
Seiten
2023
Productivity Press (Verlag)
978-1-4987-6865-8 (ISBN)
Productivity Press (Verlag)
978-1-4987-6865-8 (ISBN)
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This book covers statistical inference for copula and tail copula models with applications in finance, insurance and risk management.
This book will cover statistical inference for copula and tail copula models with applications in finance, insurance and risk management. After giving a quick introduction to copula and tail copula models, it will focus on various up-to-date statistical inference procedures, including point and interval estimation and goodness-of- t tests, for both copulas and tail copulas based on either independent data or dependent data. A chapter on applications in nance, insurance and risk management will be provided with R code.
This book will cover statistical inference for copula and tail copula models with applications in finance, insurance and risk management. After giving a quick introduction to copula and tail copula models, it will focus on various up-to-date statistical inference procedures, including point and interval estimation and goodness-of- t tests, for both copulas and tail copulas based on either independent data or dependent data. A chapter on applications in nance, insurance and risk management will be provided with R code.
Professor Liang Peng is the Thomas P Bowles Chair professor of Actuarial Science in the Department of Risk Management and Insurance in the Robinson College of Business at Georgia State University, and is the fellow of both Institute of Mathematical Statistics and American Statistical Association. Peng has extensive research experience in extreme value theory, time series analysis, nonparametric statistics, copula models, empirical likelihood methods and uncertainty quanti cation for various risk measures.
Introduction. Inference for Copula on Independent Data. Inference for Tail Copulas on Independent Data. Inference for Dependent Data. Applications.
| Erscheint lt. Verlag | 31.12.2023 |
|---|---|
| Reihe/Serie | Chapman and Hall/CRC Financial Mathematics Series |
| Zusatzinfo | 20 Illustrations, black and white |
| Verlagsort | Portland |
| Sprache | englisch |
| Maße | 156 x 234 mm |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Mathematik / Informatik ► Mathematik ► Statistik | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
| ISBN-10 | 1-4987-6865-2 / 1498768652 |
| ISBN-13 | 978-1-4987-6865-8 / 9781498768658 |
| Zustand | Neuware |
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