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  • Photo du rédacteurHélène Dufour

Modeling Multivariate Operational Losses Via Copula-Based Distributions with G-and-H Marginals

"The empirical evidence suggests that a distribution based on a single copula is not flexible enough, and thus we model the dependence structure by means of vine copulas. We show that the approach based on regular vines improves the fit. Moreover, even though losses corresponding to different event types are found to be dependent, the assumption of perfect positive dependence is not supported by our analysis. "

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