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

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  • Donnelly, Catherine
  • Embrechts, Paul

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  • Donnelly, Catherine & Embrechts, Paul, 2010. "The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 40(01), pages 1-33, May.
  • Handle: RePEc:cup:astinb:v:40:y:2010:i:01:p:1-33_00
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    1. Balkema, A.A. & Embrechts, P. & Nolde, N., 2010. "Meta densities and the shape of their sample clouds," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1738-1754, August.
    2. Cai, J., 2012. "Estimation concerning risk under extreme value conditions," Other publications TiSEM a92b089f-bc4c-41c2-b297-c, Tilburg University, School of Economics and Management.
    3. Jaworski, Piotr, 2015. "Univariate conditioning of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 89-103.
    4. Kim, Jae H. & Ji, Philip Inyeob, 2015. "Significance testing in empirical finance: A critical review and assessment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 1-14.
    5. Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
    6. Sara Cecchetti & Giovanna Nappo, 2012. "A dynamic default dependence model," Temi di discussione (Economic working papers) 892, Bank of Italy, Economic Research and International Relations Area.
    7. Ifanti, Amalia A. & Argyriou, Andreas A. & Kalofonou, Foteini H. & Kalofonos, Haralabos P., 2013. "Financial crisis and austerity measures in Greece: Their impact on health promotion policies and public health care," Health Policy, Elsevier, vol. 113(1), pages 8-12.
    8. Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012. "Copula based hierarchical risk aggregation through sample reordering," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 122-133.
    9. Hashorva, Enkelejd & Jaworski, Piotr, 2012. "Gaussian approximation of conditional elliptical copulas," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 397-407.
    10. Chavez-Demoulin, V. & Embrechts, P. & Sardy, S., 2014. "Extreme-quantile tracking for financial time series," Journal of Econometrics, Elsevier, vol. 181(1), pages 44-52.
    11. Gola Carlo & Ilari Antonio, 2013. "Financial innovation oversight: a policy framework," Questioni di Economia e Finanza (Occasional Papers) 200, Bank of Italy, Economic Research and International Relations Area.
    12. Furman, Edward & Kuznetsov, Alexey & Su, Jianxi & Zitikis, Ričardas, 2016. "Tail dependence of the Gaussian copula revisited," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 97-103.
    13. Malekan, Sara & Dionne, Georges, 2014. "Securitization and optimal retention under moral hazard," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 74-85.
    14. Cristiano Villa, 2017. "Bayesian estimation of the threshold of a generalised pareto distribution for heavy-tailed observations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 95-118, March.
    15. Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.
    16. Fertis, Apostolos & Baes, Michel & Lüthi, Hans-Jakob, 2012. "Robust risk management," European Journal of Operational Research, Elsevier, vol. 222(3), pages 663-672.
    17. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias, 2015. "Building bridges between Mathematics, Insurance and Finance," Dependence Modeling, De Gruyter Open, vol. 3(1), pages 1-12, May.
    18. Bozic, Marin & Newton, John & Thraen, Cameron S. & Gould, Brian W., 2012. "Livestock Gross Margin Insurance for Dairy: Designing Margin Insurance Contracts to Account for Tail Dependence Risk," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124718, Agricultural and Applied Economics Association.
    19. Shi, Xiaojun & Tang, Qihe & Yuan, Zhongyi, 2017. "A limit distribution of credit portfolio losses with low default probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 156-167.

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