Shim, Jeungbo; Lee, Eun-Joo; Lee, Seung-Hwan - In: International Journal of Business and Economics 9 (2010) 3, pp. 213-231
This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas to estimate Value at Risk and expected shortfall using a sample of firms in the US property-liability insurance industry. We perform goodness-of-fit tests to assess the adequacy of the copula...