Multivariate Probability Distributions: Applications and Risk Models

Charles S. Tapiero
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Charles S. Tapiero: Polytechnic Institute of New York University

Chapter Chapter 4 in Engineering Risk and Finance, 2013, pp 109-138 from Springer

Abstract: Abstract Multiple, simultaneous and dependent sources of risks are common to risk modeling. To model their manifestations, we use multivariate probability distributions and models to express their dependence and their interactions. The purpose of this chapter is to summarize a number of approaches to multivariate probability modeling and measurement of dependence. These include statistical and functional models, Bayesian techniques, families of multivariate probability distributions and copula. Both short term and long-run memory and fractal models are relegated to Chap. 5.

Keywords: Probability Generate Function; Conditional Probability Distribution; Continuous Random Variable; Joint Distribution Function; Multivariate Probability Distribution (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-1-4614-6234-7_4

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