Carole Bernard (Ontario)
This lecture is about the modeling of multivariate dependence
(copulas, factor models) and of dependence uncertainty. We will
discuss issues from a theoretical perspective in dimensions 2 and
higher. We will also present the rearrangement algorithm of Embrechts,
Puccetti and Ruschendorf (2012) as a practical tool to deal with
dependence, as well as its latest improvements.
