Copula Reading

Start with:

• • Dependence Modeling chapter in the open Loss Data Analytics textbook

  • Frees and Valdez (1998), NAAJ1998Copulas.pdf

  • Genest and Favre (2007), GenestFavre.pdf

  • A tutorial by Jed, Multivariate Regression Using Copulas

The first goal of the reading group is to study Elements of Copula Modeling with R, by Hofert, M., Kojadinovic, I., M¨achler, M., and Yan, J. (2018), Springer.

We will use the Copula Introduction overheads by Peng Shi to give us a flavor for this material.

Some will use this foundational material to take the next step and read Harry Joe's 2014 book, Dependence Modeling Using Copulas.

Actuarial and Insurance motivation includes

• • Quantitative Risk Management (2005) by Frey, McNeil, Embrechts

Check out the Vine Copula page (not background but still interesting reading)

Below are some papers (also not background reading) from the workshop CRM-CANSSI Workshop on "New Horizons in Copula Modeling" December 15-18, 2014. These include:

• • Copulas and Machine Learning by Gal Elidan

  • Conditional independence copula models with graphical representations by Harry Joe

  • Modeling spatial dependencies using spatial vine copula approaches by Tobias Michael Erhardt, Claudia Czado and Ulf Schepsmeier