Copula function as a dependence structure.
Proceedings of the International Scientific School
"Modelling and Analysis of Safety and Risk in Complex
Systems", St.-Petersburg, 2006, p. 98-99.
Correlation structure of a multidimensional probability distribution
captures only a small fraction of information on components dependence.
To overcome the lack of information copula functions were intensively
used during recent decades. The present paper gives an overview of
copula functions as descriptors of dependence structure, presents
some general classes of copula functions, and provides algorithms
for using copula functions in decision-making under risk. Special
attention is paid to discrete marginals case, which has not been
addressed much in the literature before.