The Casualty Actuarial Society, Canadian Institute of Actuaries, and Society of Actuaries' Joint Risk Management Research Team is pleased to make available a research report on phase transitions and copulas. This report, authored by Michael A. Ekhaus of Gibraltar Analytical, LLC, has two primary objectives. The first is to incorporate phase transitions into a copula framework, and the second is to apply this to calculate the probability of defaulting in the context of a portfolio of correlated mortgages when a contagion effect exists.
Source
Society of Actuaries (US)
Length of Resource
30 pages
Resource File
Date Published
Publication Type
paper
Resource Type
academic