Copulas: A personal view

Abstract

Copula modeling has taken the world of finance and insurance, and well beyond, by storm. Why is this? In this paper I review the early start of this development, discuss some important current research, mainly from an applications point of view, and comment on potential future developments. An alternative title of the paper would be “Demystifying the copula craze”. The paper also contains what I would like to call the copula must-reads.

Cite this paper

@inproceedings{Embrechts2007CopulasAP, title={Copulas: A personal view}, author={Paul Embrechts}, year={2007} }