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Multivariate Probability Distributions: Applications and Risk Models

In: Engineering Risk and Finance

Author

Listed:
  • Charles S. Tapiero

    (Polytechnic Institute of New York University)

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.

Suggested Citation

  • Charles S. Tapiero, 2013. "Multivariate Probability Distributions: Applications and Risk Models," International Series in Operations Research & Management Science, in: Engineering Risk and Finance, edition 127, chapter 0, pages 109-138, Springer.
    • Handle: RePEc:spr:isochp:978-1-4614-6234-7_4
    DOI: 10.1007/978-1-4614-6234-7_4
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