Background The estimation of archimedean copulas is an issue that bothers me since… a while now. My first shot at reasearch, while still being a master’s student, was a project with a few friends involving those models into a solvency 2 and reinsurence pricing problem.
Part 1: About the Gumbel-Barnett generator and its derivatives. In this article, I discuss an interesting problem encountered while working on Copulas.jl, a Julia package for copula routines that I have developed and continue to maintain.
Announce I am proud to annonce the publication and the registration of my new Julia package, Copulas.jl.
As it’s name suggests, Copulas.jl is a package that implements methods and tools to work with an arround copulas in the Julia programming language.