Copula Phase Transitions Report
Research Projects – Risk Management
The Casualty Actuarial Society, Canadian Institute of Actuaries, and Society of Actuaries' Joint Risk Management Research Team is pleased to make available a research report on phase transitions and copulas. This report, authored by Michael A. Ekhaus of Gibraltar Analytical, LLC, has two primary objectives. The first is to incorporate phase transitions into a copula framework, and the second is to apply this to calculate the probability of defaulting in the context of a portfolio of correlated mortgages when acontagion effect exists.
Thank You
The Joint Risk Management Research Team would like to thank the members of the Project Oversight Group for their valuable input:
- Nicholas Albicelli
- Christopher Bohn
- David Li
- Steven Craighead
- Katy Curry
- Angelika Feng
- Tom Herzog
- David Hopewell
- Ross Kongoun Zilber
- Gavin Maistry
- Harry Panjer
- Joseph Perlman
- Jacques Rioux
- Steven Siegel, Research Actuary
Questions Or Comments?
If you have comments or questions, please send an email to research@soa.org.