The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis

DOI10.2143/AST.40.1.2049222zbMath1230.91181WikidataQ61960214 ScholiaQ61960214MaRDI QIDQ3569704

Catherine Donnelly, Paul Embrechts

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (32)

Invariant dependence structure under univariate truncation ⋮ Detecting tail behavior: mean excess plots with confidence bounds ⋮ \(t\)-copula from the viewpoint of tail dependence matrices ⋮ MULTIVARIATE COMPOSITE COPULAS ⋮ Tail dependence of the Gaussian copula revisited ⋮ COMPOSITE BERNSTEIN COPULAS ⋮ TAMING UNCERTAINTY: THE LIMITS TO QUANTIFICATION ⋮ Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ LLN-type approximations for large portfolio losses ⋮ Robust risk management ⋮ A limit distribution of credit portfolio losses with low default probabilities ⋮ On copulas with a trapezoid support ⋮ Modeling defaults with nested Archimedean copulas ⋮ Measuring non-exchangeable tail dependence using tail copulas ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Gaussian approximation of conditional elliptical copulas ⋮ Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas ⋮ Copula based hierarchical risk aggregation through sample reordering ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ Extreme-quantile tracking for financial time series ⋮ Securitization and optimal retention under moral hazard ⋮ Dependence in a background risk model ⋮ Model selection in sparse high-dimensional vine copula models with an application to portfolio risk ⋮ Sum of Bernoulli mixtures: beyond conditional independence ⋮ Meta densities and the shape of their sample clouds ⋮ Distorted mix method for constructing copulas with tail dependence ⋮ Quantile-Based Risk Sharing ⋮ Invariant dependence structure under univariate truncation: the high-dimensional case ⋮ Univariate conditioning of vine copulas ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities ⋮ Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts ⋮ Four theorems and a financial crisis

Cites Work

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• An introduction to copulas.
• The commons with capital markets
• An introduction to statistical modeling of extreme values

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