The Use of Copulas in the Study of Certain Transforms of Random Variables with Applications in Finance
نویسنده
چکیده
The financial life often requires the calculation of some sort of expectations: expected utility, expected payoffs, expected losses, which are expressed as certain transforms of some random variables. We shall provide a method, based on the copula concept, to calculate the probabilities that these transforms belong to a certain neighbourhood of their expected values. First, we recall briefly the concept of copula and some useful results. We denote I = [0, 1].
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