This paper grew out of various recent discussions with academics and practitioners around the theme of the interplay between insurance and finance. Some issues were:<p> The increasing collaboration between insurance companies and banks<p> The emergence of finance related insurance products, as there...</p></p>

Copula modeling has taken the world of finance and insurance, and well beyond, by storm. Why is this? In this article, I review the early start of this development, discuss some important current research, mainly from an applications point of view, and comment on potential future developments....

Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility clustering. Strongly present in some series, nonstationarity is a feature that has been somewhat overlooked. This may however be a highly relevant feature when estimating extreme...

Despite an extensive body of research, the best way to model the dependence of exchange rates remains an open question. In this paper we present a new approach which employs a flexible time-varying copula model. It allows the conditional correlation between exchange rates to be both time-varying...

In proving limit theorems for some stochastic processes, the following classes of distribution functions were introduced by Chover--Ney--Wainger and Chistyakov F belongs to ([lambda]) if and only if: 1. (i) 2. (ii) for all yreal, 3. (iii)[integral operator][infinity]0...