Copulas and Their Role in Actuarial Modelling
In the last few years there has been considerable interest in the use of copulas for modelling dependent financial risks in various contexts such as portfolio credit risk, dependent lifetimes and economic/solvency capital models. There has also been a more recent backlash against the often uncritical and arbitrary use of copulas in so many areas. In this talk we will survey the state-of-the-art and give our own opinion of the modelling problems that are best handled with copulas. In many cases there are natural copulas for certain applications and these can be justified by more structural models. We will also present some recent new results on Archimedean copulas which reveal more clearly the dependence structure of these models.
The seminar will take place in A-building, see below for the address.