The interdependence between multiple lines of business has an important impact on determining loss reserves and risk …, we study rank-based methods using the Sarmanov distribution to adequately estimate the loss reserves and properly capture …

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high … dimension, nonparametrically estimating a tail copula is very inefficient and fitting a parametric model to tail copulas is not … robust. In this paper we propose a semi-parametric model for tail copulas via an elliptical copula. Based on this model …

literature for the marginal outcomes. This paper contributes to this body of literature by focusing on the use of a copula for …