Principles of Copula Theory

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9781439884423: Principles of Copula Theory
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This book presents a much-needed synthesis of recent research on copulas, a statistical tool widely used in applications in financial risk assessment and actuarial analysis. The text provides an overview of the mathematical properties of copulas with an emphasis on recent developments. It contains numerous examples using real data, especially from finance and insurance. This unique resource not only provides up-to-date information on this growing field, but it also covers the multidimensional case.

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Review:

"This book presents an overview of the theory of copulas. The research on copulas and its applications has grown very rapidly from Sklar's seminal paper in 1959. Recent applications in finance have boosted new research, and several books have been written on this subject during the last two decades.
... In this book, the authors' focus is on the mathematical foundations of the theory of copulas. In fact, the first chapters are devoted to put the theory of copulas into the frame of measure theory. Moreover, the theory is presented for general d-copulas (d > 2), whenever possible. Pointers to applications are given in special paragraphs named \Further readings".... The presentation is always clear and the mathematical language is precise. The book can be used as a reference book for mathematicians and statisticians interested in the theory of copulas, and especially in the mathematical foundations of that theory. Moreover, the book can also be useful to those researchers in applied fields who need a strong reference manual on the mathematical aspects of the theory of copulas."
―Fabio Rapallo (Alessandria) in Zentralblatt Mathematik, April 2018

"This book represents a rigourous introduction to the theory of copula models, the biggest and the most thorough yet at that. The level of detail and rigour targets mathematicians working in probability theory. The exposition starts with an overview of the history of the subject followed by eight chapters laying out the theory of Copula models. The idea of the book was to present modern theoretical foundations for Copula models now that the field has seen over 50 years of research that has greatly accelerated recently with the development of applications in Finance, Operations Research, Statistics and Biostatistics. ... For a mathematically-oriented researcher in Statistics, Biostatistics and Applied Probability, and further in the specific applied fields of science, the book will serve as a reference for theoretical ideas potentially inspiring applied theory development."
― Alex Tsodikov, University of Michigan, in International Statistical Review, December 2017

About the Author:

Fabrizio Durante is a professor in the Faculty of Economics and Management at the Free University of Bozen–Bolzano. He is an associate editor of Computational Statistics & Data Analysis and Dependence Modeling. His research focuses on multivariate dependence models with copulas, reliability theory and survival analysis, and quantitative risk management. He earned a PhD in mathematics from the University of Lecce and habilitation in mathematics from the Johannes Kepler University Linz.

Carlo Sempi is a professor in the Department of Mathematics and Physics at the University of Salento. He has published nearly 100 articles in many journals. His research interests include copulas, quasi-copulas, semi-copulas, weak convergence, metric spaces, and normed spaces. He earned a PhD in applied mathematics from the University of Waterloo.

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