Marshall Olkin Distributions - Advances in Theory and Applications
Autor: | Umberto Cherubini, Fabrizio Durante, Sabrina Mulinacci |
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EAN: | 9783319190396 |
eBook Format: | |
Sprache: | Englisch |
Produktart: | eBook |
Veröffentlichungsdatum: | 01.06.2015 |
Untertitel: | Bologna, Italy, October 2013 |
Kategorie: | |
Schlagworte: | Copulas Credit Risk Marshall-Olkin Distribution Quantitative Risk Management Tail Dependence |
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Umberto Cherubini is an Associate Professor of Financial Mathematics at the University of Bologna. He is member of the scientific committee of AIFIRM, the Italian Association of Financial Risk Managers, and of ABI Formazione, the education branch of the Italian Banking Association. He has been consulting and teaching in the field of finance and risk management, with particular focus on multivariate products and dependence, for more than ten years. Before joining the academia, he worked at the Economic Research Department of BCI (COMIT), an Italian bank, where he directed the Forecasting and Risk Measurement Methods Unit. He has published papers in finance and economics in international journasl and six books on topics of risk management and financial mathematics.
Fabrizio Durante is an Associate Professor for Statistics at the Faculty of Economics and Management of the Free University of Bozen-Bolzano (UNIBZ), Italy. He studied at the University of Lecce, Italy, where he has obtained his doctoral degree in Mathematics. Before joining FUB, he was also working at the Johannes Kepler University Linz, Austria, where he has obtained the habilitation in Mathematics in 2010. His research activities focus on the fields of dependence and copula models, with particular emphasis on applications in financial risk management, reliability theory, and environmental science (especially hydrology). He co-edited two books devoted to copula theory and its applications published by Springer. Moreover, he has organized several international events and special sessions about dependence models in the recent years. Currently, he is associate editor of the journal 'Computational Statistics and Data Analysis' and 'Dependence Modeling'.
Sabrina Mulinacci is an Associate Professor of Mathematical Methods for Economics and Finance at the Department of Statistics at the University of Bologna. She obtained her PhD in mathematics at the University of Pisa and she has been Associate Professor at the Catholic University of Milan. Her main research interests focus on probability theory and mathematical finance.