The use of copulas in the study of certain transforms of random variables with applications in finance

MaRDI QIDQ3605260zbMATH OpenFDO

Authors Edith Kovács

Publication date 23 February 2009

Full work available at URL https://eudml.org/doc/117156

zbMATH Keywords

value at riskmarginalsjoint distribution functions

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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