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A Versatile Copula and Its Application to Risk Measures

Jeungbo Shim,Eunjoo Lee,Seung Hwan Lee-2010-01-01-International journal of business and economics
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TL;DRAbstract

This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas to estimate Value at Risk and expected shortfall using a sample of firms in the US property-liability insurance industry. We perform goodness-of-fit tests to assess the adequacy of the copula models selected. We find that a versatile copula is effective in estimating dependence structures of non-homogeneous multivariate risks.

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This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas to estimate Value at Risk and expected shortfall using a sample of firms in the US property-liability insurance industry. We perform goodness-of-fit tests to assess the adequacy of the copula models selected. We find that a versatile copula is effective in estimating dependence structures of non-homogeneous multivariate risks.

Keywords

Copula (linguistics)EconometricsMultivariate statisticsExpected shortfallActuarial scienceValue at riskGoodness of fitEconomics

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