Copulæ: Some mathematical aspects

Authors

  • Carlo Sempi

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    1. Dipartimento di Matematica ‘Ennio De Giorgi’, Università del Salento, I-73100 Lecce, Italy
    • Dipartimento di Matematica ‘Ennio De Giorgi’, Università del Salento, I-73100 Lecce, Italy
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    • This paper is based on the talk presented at the 4th Brazilian Conference on Statistical Modelling in Insurance and finanace held in Maresias, 4–8 April 2009.


Abstract

This paper starts with a few critical considerations about the use of copulas in applications, mainly in the field of Mathematical Finance. Two points will be stressed: (i) the construction of asymmetric copulas and (ii) the construction of multivariate copulas. Also, it briefly touches on the long-standing problem of compatibility. Copyright © 2010 John Wiley & Sons, Ltd.

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