Dual volatility and dependence parameters and the copula

DOI10.1016/j.ijar.2007.03.014zbMath1184.62078OpenAlexW1971890888MaRDI QIDQ2270425

Dieter Denneberg, Nikola Leufer

Publication date: 18 March 2010

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2007.03.014

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

Comonotonicity for sets of probabilities

Cites Work

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• The concept of comonotonicity in actuarial science and finance: theory.
• The symmetric Sugeno integral.
• Measure and integral with purely ordinal scales.
• Subjective Probability and Expected Utility without Additivity

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