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- W10270453 abstract "This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas to estimate Value at Risk and expected shortfall using a sample of firms in the US property-liability insurance industry. We perform goodness-of-fit tests to assess the adequacy of the copula models selected. We find that a versatile copula is effective in estimating dependence structures of non-homogeneous multivariate risks." @default.
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- W10270453 date "2010-01-01" @default.
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- W10270453 title "A Versatile Copula and Its Application to Risk Measures" @default.
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