Copula-Based Multivariate Models with Applications to Risk Management and Insurance

Download or read book Copula-Based Multivariate Models with Applications to Risk Management and Insurance written by Marco Bee and published by . This book was released on 2005 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper consists in analysing the relevance of dependence concepts in finance, insurance and risk management, exploring how these concepts can be implemented in a statistical model via copula functions and pointing out some difficulties related to this methodology. In particular, we first review the statistical models currently used in the actuarial and financial fields when dealing with loss data; then we show, by means of two risk management applications, that copula-based models are very flexible but sometimes difficult to set up and to estimate; finally we study, by means of a simulation experiment, the properties of the maximum likelihood estimators of the Gaussian and Gumbel copula.