Archimedovské kopule

• Thesis title in Czech: Archimedovské kopule
• Thesis title in English: Archimedean copulas
• Key words: Archimedovské kopule, pořadová korelace, metoda IFM
• English key words: Archimedean copulas, rank correlation, method of inference functions for margins
• Academic year of topic announcement: 2015/2016
• Thesis type: Bachelor's thesis
• Thesis language: čeština
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: doc. RNDr. Michal Pešta, Ph.D.
• Author: hidden - assigned and confirmed by the Study Dept.
• Date of registration: 18.09.2015
• Date of assignment: 01.10.2015
• Confirmed by Study dept. on: 24.11.2015
• Date and time of defence: 22.06.2016 00:00
• Date of electronic submission: 26.05.2016
• Date of submission of printed version: 26.05.2016
• Date of proceeded defence: 22.06.2016
• Opponents: doc. Ing. Marek Omelka, Ph.D.

Guidelines

Práce bude zaměřena na archimedovské kopule, jejich teoretické vlastnosti, způsoby odhadování parametrů a možné aplikace ve financích nebo pojišťovnictví. Těžistě práce bude spočívat v aplikaci sepsané teorie v jednotném značení na reálná nebo simulovaná data.

References

[1] McNeil, A.J., Frey, R, and Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques, and Tools. Princeton Series in Finance.
[2] Nelsen, R. B. (2006). An Introduction to Copulas, Second Edition. New York, Springer Science+Business Media Inc.