Introduction to dependence modeling and extreme dependence

11.05.2015, 10:30-12:00  –  Am Neuen Palais,Haus 8 Raum 0.61
Gastvortrag

Carole Bernard (Ontario)

This lecture is about the modeling of multivariate dependence

(copulas, factor models) and of dependence uncertainty. We will

discuss issues from a theoretical perspective in dimensions 2 and

higher. We will also present the rearrangement algorithm of Embrechts,

Puccetti and Ruschendorf (2012) as a practical tool to deal with

dependence, as well as its latest improvements.