Archive for May 6th, 2009
… is the title of a great article in the Financial Times from 04/29/09 (thx for pointing me to that one). It is about the origins of the copula formula and its connection to actuarial science where a similar problem, to estimate or quantify the remaining life expectancy in couples, occurs – more specifically the remaining life expectancy of the left-behind partner conditional on the other one being dead. The broken heart syndrom:
Pages and pages of death records showed the same marked trend: that in human couples, the death of one partner significantly increases the chances of the death of the other. Dying of a broken heart – in the most general sense, not necessarily from stress cardiomyopathy – was not a rare occurrence, but something of a statistical probability.
A nice story about 1001 correlations (covering everything from Black-Scholes-Merton, to LTCM, to Russian Bonds, etc) … Definitely worth reading.