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