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Edition

Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas

Research Projects in Risk Management


The Casualty Actuarial Society, Canadian Institute of Actuaries, and the Society of Actuaries' Joint Risk Management Section is pleased to make available a research report exploring how a full-range tail dependence copula would be useful in assessing tail risks in a regression setting. The report was authored by Lei Hua and Michelle Xia.


Report

Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas Report


Questions

If you have any questions or comments regarding the report, please contact Steve Siegel, Research Actuary at ssiegel@soa.org.


Thank You

The Joint Risk Management Section would like to thank the following individuals for their input and review:

  • Ming Chiu
  • Steve Craighead
  • Joonghee Huh
  • Glenn Meyers
  • Rahul Parsa
  • Jacques Rioux
  • Ping Wang
  • Keli Zhang
  • Steve Siegel, Research Actuary
  • Barbara Scott, Research Administrator