Piotr Jaworski
Abstract
Open-access reader
The theory of copulas provides a useful tool for modelling dependence in risk management. The goal of this paper is to describe the tail behaviour of bivariate copulas and its role in modelling extreme events. We say that a bivariate copula has a uniform
OpenAlex reports 22 citations for this work. Citation counts describe recorded attention and do not establish research quality.
A contribution statement is not available in the OpenAlex record.
Method details are not available in the OpenAlex metadata.
Findings are not separately available in the OpenAlex metadata.
Limitations are not available in the OpenAlex metadata.
Application details are not available in the OpenAlex metadata.
The theory of copulas provides a useful tool for modelling dependence in risk management. The goal of this paper is to describe the tail behaviour of bivariate copulas and its role in modelling extreme events. We say that a bivariate copula has a uniform
Key concepts: Bivariate analysis, Copula (linguistics), Tail dependence, Mathematics, Econometrics, Extreme value theory, Statistical physics, Statistics