7. Multivariate Models

  1. Stuart A. Klugman1,
  2. Harry H. Panjer2 and
  3. Gordon E. Willmot2

Published Online: 30 JAN 2012

DOI: 10.1002/9780470391341.ch7

Loss Models: From Data to Decisions, Third Edition

Loss Models: From Data to Decisions, Third Edition

How to Cite

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2008) Multivariate Models, in Loss Models: From Data to Decisions, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470391341.ch7

Author Information

  1. 1

    Drake University

  2. 2

    University of Waterloo

Publication History

  1. Published Online: 30 JAN 2012
  2. Published Print: 21 SEP 2008

ISBN Information

Print ISBN: 9780470187814

Online ISBN: 9780470391341

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Keywords:

  • Sklar's theorem;
  • tail dependence;
  • archimedean copulas;
  • elliptical copulas;
  • extreme value copulas

Summary

This chapter contains sections titled:

  • Introduction

  • Sklar's Theorem and Copulas

  • Measures of Dependency

  • Tail Dependence

  • Archimedean Copulas

  • Elliptical Copulas

  • Extreme Value Copulas

  • Archimax Copulas