Fabrizio Durante: Copula-based dependence models: properties, applicability and pitfalls

V četrtek, 7. maja 2015, ob 14:30 bo v predavalnici 3.06 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje prof. dr. Fabrizia Duranteja (Free University of Bozen-Bolzano) z naslovom Copula-based dependence models: properties, applicability and pitfalls.

Povzetek predavanja: Copula-based models have gained popularity in the recent years due to their ability to capture different facets of dependence among random variables such as non-exchangeability and tail dependence. In this talk, we review the classical literature about copulas models, with particular emphasis on high-dimensional models, by stressing pros and cons of several methods and by trying to propose possible extensions. Potential applications in risk management will be discussed as well.

Vljudno vabljeni!