Many proposals have been made recently for goodness-of-fit testing of copula models. After
reviewing them briefly, the authors concentrate on “blanket tests”, ie, those whose …

Dependence Modeling with Copulas covers the substantial advances that have taken place
in the field during the last 15 years, including vine copula modeling of high-dimensional …

Weak Convergence Page 1 1.3 Weak Convergence In this section IDl and IE are metric spaces
with metrics d and e, respectively. The set of all continuous, bounded functions f: IDl 1--+ IR is …

Copula Methods in Finance is the first book to address the mathematics of copula functions
illustrated with finance applications. It explains copulas by means of applications to major …

This paper presents an introduction to inference for copula models, based on rank methods.
By working out in detail a small, fictitious numerical example, the writers exhibit the various …

The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …

This article presents the modeling of multivariate extreme values using copulas. Our
approach allows us to model the dependence structure independently of the marginal …

It is shown that a necessary and sufficient condition for an Archimedean copula generator to
generate ad-dimensional copula is that the generator is ad-monotone function. The class of …

Copulas are a general tool to construct multivariate distributions and to investigate
dependence structure between random variables. However, the concept of copula is not …

Wang & Wells [J. Amer. Statist. Assoc. 95 (2000) 62] describe a non‐parametric approach for
checking whether the dependence structure of a random sample of censored bivariate data …