Στατιστικές μέθοδοι μοντελοποίησης εξαρτημένων κινδύνων
Statistical methods for modelling dependent risks
Sometimes when we are interested in studying the behavior of two or more random variables, we adopt the assumption that there is no dependence between them. However, this hypothesis is rarely confirmed in practice. In this paper, we will deal with the concept of risk and some of its important measures. In addition, we will provide an introduction to the Copulas theory and discuss concepts such as correlation and dependence of random variables. Finally, using the theoretical results presented and the R programming language, we will proceed to the construction of a mathematical model that describes the dependence structure of two random variables.