Editorial to the special issue on Copulae of Statistics & Risk Modeling

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2013-01-01 DOI:10.1524/strm.2013.9014

Ostap Okhrin

引用次数: 0

Abstract

Abstract Copulae became an extremely popular tool in different areas of research. Since the first applications in risk management in the late 90th, they attracted many other quantitatively oriented sciences like biostatistics, hydrology and finance. The main reason originates in the Sklar (1959) theorem, which allows for separation of the marginal distributions from the dependency structure between the random variables. This editorial is organized as follows. In the first section we define the copulae and state the Sklar theorem. Some literature suggestions are given in the second section. The last section presents the content of this special issue.

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统计与风险建模关系特刊社论

摘要:Copulae在不同的研究领域已经成为一种非常流行的工具。自90年代末在风险管理方面的首次应用以来，它们吸引了许多其他以定量为导向的科学，如生物统计学、水文学和金融学。主要原因源于Sklar(1959)定理，该定理允许将边际分布从随机变量之间的依赖结构中分离出来。这篇社论的组织如下。在第一部分中，我们定义了交公式并说明了斯克拉定理。第二部分给出了一些文献建议。最后一节介绍本期特刊的内容。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Risk Modeling STATISTICS & PROBABILITY-

CiteScore

1.80

自引率

6.70%

发文量

期刊介绍： Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.

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