Ανάλυση αναλογιστικών δεδομένων με χρήση Copulas
Analysis of actuarial data using Copulas In
Λιλιτάκη, Βασιλική Κ.
The literature on the properties and applications of Copulas has been developing rapidly in recent years in many scientific fields. Especially in actuarial science and risk management, Copulas are an important tool, since the data we deal with present dependence. In this dissertation we will make an introduction to the concept of Copulas, giving their basic definitions and properties. Then we will describe their relationships to measures of dependence and we will introduce two of the most important families of Copulas which are applicable to actuarial science, the Archimedean and Compound Copulas. Moreover, we will cover topics of statistical inference and we describe algorithms for generating data from these families. Finally, we present an application of Copulas in actuarial science.