Demystifying copulas: An interactive lesson

Publication Year: 2024

Access: Open

Link: https://zenodo.org/records/12533412, https://doi.org/10.5281/zenodo.12533412

Author(s): John Hillier, Nikolas Petalas, Tom Perkins

Organisation(s)/Authors:

Description:

A guide to using copulas to correlate random variable, for example two types of loss. This guide provides an introduction to copulas, how they can be used in operational risk modelling for multi-hazard / compound risk scenarios through simulation. The link provides an Excel based exercise designed as an interactive lesson to learn more about copulas.

Technical Considerations:

Key Words:

Copula, Insurance, Risk correlation, Natural hazard, Dependency, Co-occurring hazards, Compound risk