Copulas - PowerPoint PPT Presentation

Agenda

Agenda. Acknowledgements The R isky World of SIX Why Model D ependencies? Modeling Dependencies Compound Poisson Processes and Lévy -Copulas. 2. Acknowledgements. I have benefited from discussion with: Frank Cuypers (Prime Re Services) Hansjörg Albrecher (University of Lausanne)

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Capital Allocation: Challenges and Options

Capital Allocation: Challenges and Options. James Orr and Andreas Tsanakas. Contents of Talk. Introduction James Lloyd’s RBC “ “ Coherent Risk Measures Andreas Cooperative Games “ “ Capital Efficiency “ “ Dependency Structures “ “ Systemic Risk James

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