A Partially Comonotonic Algorithm for Loss Generation

Abstract
A simple multivariate algorithm and corresponding copula are introduced which allow varying dependency as a function of loss size. In contrast to the Gaussian copula, large losses from Pareto distributions can be correlated. For the bivariate problem, special cases give the upper Frechet bound, independence, and the lower bound.
Volume
Porto Cervo, Italy
Year
2000
Categories
Financial and Statistical Methods
Simulation
Copulas/Multi-Variate Distributions
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Colloquium
Authors
Rodney E Kreps