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My introduction to copulas: An interview with Roger Nelsen

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  • Durante Fabrizio

    (Dipartimento di Scienze dell’Economia, Università del Salento, Lecce, Italy)

  • Puccetti Giovanni

    (Dipartimento di Economia, Management e Metodi Quantitativi, Università di Milano, Italy)

  • Scherer Matthias

    (Lehrstuhl für Finanzmathematik, Technische Universität München, Germany)

  • Vanduffel Steven

    (Faculteit Economische en Sociale Wetenschappen, Vrije Universiteit Brussel, Brussel, Belgium)

Abstract

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Suggested Citation

  • Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2017. "My introduction to copulas: An interview with Roger Nelsen," Dependence Modeling, De Gruyter, vol. 5(1), pages 88-98, January.
    • Handle: RePEc:vrs:demode:v:5:y:2017:i:1:p:88-98:n:6
    DOI: 10.1515/demo-2017-0006
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    References listed on IDEAS

    as
    1. Mohamed N. Jouini & Robert T. Clemen, 1996. "Copula Models for Aggregating Expert Opinions," Operations Research, INFORMS, vol. 44(3), pages 444-457, June.
    2. Alsina, Claudi & Nelsen, Roger B. & Schweizer, Berthold, 1993. "On the characterization of a class of binary operations on distribution functions," Statistics & Probability Letters, Elsevier, vol. 17(2), pages 85-89, May.
    3. Genest, C. & Quesada Molina, J. J. & Rodriguez Lallena, J. A. & Sempi, C., 1999. "A Characterization of Quasi-copulas," Journal of Multivariate Analysis, Elsevier, vol. 69(2), pages 193-205, May.
    4. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias, 2015. "A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-14, October.
    5. Robert T. Clemen & Terence Reilly, 1999. "Correlations and Copulas for Decision and Risk Analysis," Management Science, INFORMS, vol. 45(2), pages 208-224, February.
    6. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, November.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Puccetti Giovanni & Scherer Matthias, 2018. "Copulas, credit portfolios, and the broken heart syndrome," Dependence Modeling, De Gruyter, vol. 6(1), pages 114-130, June.

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