| Abstract [eng] |
In this Master work the concept of copulas as a tool for modeling relationships among multivariate outcomes is introduced. A copula is a function that links univariate margins to their multivariate distribution. Copulas were introduced in 1959. The literature on the statistical properties and application of copulas has been developing rapidly in recent years. In this Master work basic properties of copulas are described, then several families of copulas and relationships to measures of dependences. Later procedure for selecting the parametric family of Archimedean copulas is illustrated by using Lithuanian Motor Third Party Liability insurance data losses and expenses. For these data it is shown how to fit copulas according to nonparametric procedure which was proposed by Genest and Rivest. |
