ERM-125-15: Loss Models Further Topics - Ch.10: Copula models


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Reading Source: Textbook - Loss Models

Topics Covered in this Reading:

  • Introduction
  • Sklar’s Theorem and Copulas
  • Measures of Dependency
  • Tail Dependence
  • Archimedean Copulas
  • Elliptical Copulas
  • Extreme Value Copulas
  • Archimax Copulas
  • Estimation of Parameters
  • Simulation From Copula Models