Dependence modelling

The statistical dependence between various risks is important in the actuarial science. Various tools from the theory of copulas have been developed to estimate these correlations. Much of this work has been developed with Professor Michael Sherris of the University of NSW and Glenis Crane in her PhD thesis.

Contact: John van der Hoek

Key publications

G Crane & J van der Hoek, 'Conditional Expectation Formulae for Copulae', ANZ Journal of Statistics, 2008.

G Crane and J van der Hoek, 'Using Distortions of Copulas to Price Synthetic CDOs', Insurance Mathematics and Economics, 2009.

Areas of study and research

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