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A Versatile Copula and Its Application to Risk Measures


  • Jeungbo Shim

    (Department of Business Administration, Illinois Wesleyan University, U.S.A.)

  • Eun-Joo Lee

    (Department of Mathematics, Millikin University, U.S.A.)

  • Seung-Hwan Lee

    (Department of Mathematics and Computer Science, Illinois Wesleyan University, U.S.A.)


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 models selected. We find that a versatile copula is effective in estimating dependence structures of non-homogeneous multivariate risks.

Suggested Citation

  • Jeungbo Shim & Eun-Joo Lee & Seung-Hwan Lee, 2010. "A Versatile Copula and Its Application to Risk Measures," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 9(3), pages 213-231, December.
  • Handle: RePEc:ijb:journl:v:9:y:2010:i:3:p:213-231

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    References listed on IDEAS

    1. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    2. Genest, Christian & RĂ©millard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
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    More about this item


    dependence structure; versatility; grouped t copula; value at risk;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General


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