Modeling Dependence in Catastrophe Risk Portfolio and Optimizing Capital Loading

In the framework of this thesis, the relevance of this study based on the needs of various stakeholders will be firstly analyzed, then the research moves to the general foundations, by defining the concept of risk and coherent risk measures, upon which the thesis is built. This being done, the data used for this thesis, originating from catastrophe models are thoroughly illustrated and explained before heading to the core part of assessing the dependencies within a portfolio or risks. In addition, various tools to investigate their underlying dependencies are provided, then using one key property of copulas, that they remain invariant under monotonous transformations to model their dependence structure.

Swiss Federal Institute of Technology (ETH) Zrich
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Nan Zhao
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ResourceID: 72506

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