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Statistical models and methods for dependence in insurance data
Stephan Haug,Claudia Klüppelberg,Liang Peng 한국통계학회 2011 Journal of the Korean Statistical Society Vol.40 No.2
Copulas are becoming a quite flexible tool in modeling dependence among the components of a multivariate vector. In order to predict extreme losses in insurance and finance,extreme value copulas and tail copulas play a more important role than copulas. In this paper, we review some estimation and testing procedures for both, extreme value copulas and tail copulas, which received much less attention in the literature than corresponding studies of copulas.