Abstract
Insurance is possible because of the phenomenon of “diversification”: In general, risks are not additive but partly cancel each other. This can be made quantitative by studying the dependency of loss distributions. We introduce copulas as a straightforward mathematical tool for describing dependency in a modeling context. Another concept that expresses dependency is correlations. We briefly discuss their interpretation and compare them to copulas.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
This is not standard terminology but is practical in our context.
References
C. Acerbi, D. Tasche, Expected shortfall: a natural coherent alternative to value at risk. Econ. Notes 31(2), 379–388 (2002)
A. McNeil, R. Frey, P. Embrechts, Quantitative Risk Management. Concepts, Techniques, Tools (Princeton University Press, Princeton, 2005)
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer-Verlag London
About this chapter
Cite this chapter
Kriele, M., Wolf, J. (2014). Dependencies. In: Value-Oriented Risk Management of Insurance Companies. EAA Series. Springer, London. https://doi.org/10.1007/978-1-4471-6305-3_3
Download citation
DOI: https://doi.org/10.1007/978-1-4471-6305-3_3
Publisher Name: Springer, London
Print ISBN: 978-1-4471-6304-6
Online ISBN: 978-1-4471-6305-3
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)