Risk Theory
(J van der Hoek with M Sherris, G Crane)
Research interests of the group in the area of risk include:
- Risk measures
- Correlation of risks
- Copulas
- Capital allocation and solvency
Publications
G Crane and J van Der Hoek, Using distortions of copulas to price synthetic CDOs, Insurance: Mathematics & Economics, 42 (3):903-908, 2008;
Sherris, M. Van Der Hoek, J., Capital allocation in insurance: Economic capital and the allocation of the default option value, North American Actuarial Journal, 2006; 10 (2):39-61
Funding
2006-2008 ARC Discovery Grant DP0663090 “Innovations in Enterprise Risk Management: Risk Aggregation, Dependence and Efficiency” Chief Investigators: Mike Sherris and John van der Hoek