Correlation, Tail Dependence and Diversification
In this contribution we analyze the interplay between correlation, tail dependence and diversification between risks which has a great impact on the calculation of the Solvency Capital Requirement under the Solvency II directive. The analysis shows that t
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Claudia Becker r Roland Fried r Sonja Kuhnt Editors
Robustness and Complex Data Structures Festschrift in Honour of Ursula Gather
Editors Claudia Becker Faculty of Law, Economics, and Business Martin-Luther-University Halle-Wittenberg Halle, Germany
Sonja Kuhnt Faculty of Statistics TU Dortmund University Dortmund, Germany
Roland Fried Faculty of Statistics TU Dortmund University Dortmund, Germany
ISBN 978-3-642-35493-9 ISBN 978-3-642-35494-6 (eBook) DOI 10.1007/978-3-642-35494-6 Springer Heidelberg New York Dordrecht London Library of Congress Control Number: 2013932868 © Springer-Verlag Berlin Heidelberg 2013 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Foreword
Elisabeth Noelle-Neumann, Professor of Communication Sciences at the University of Mainz and Founder of the Institut für Demoskopie Allensbach, once declared: “For me, statistics is the information source of the responsible. (...) The sentence: ‘with statistics it is possible to prove anything’ serves only the comfortable, those who have no inclination to examine things more closely.”1 Examining things closely, engaging in exact analysis of circumstances as the basis for determining a course of action are what Ursula Gather is known for, and what she passes on to future generations of scholars
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