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“Reserve modelling and the aggregation of risks using time varying copula models

Author

Listed:
  • Sawssen Araichi

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Lotfi Belkacem

    (IHES - Institute of Higher Commercial Studies of Sousse - Université de Sousse)

  • Christian de Peretti

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

No abstract is available for this item.

Suggested Citation

  • Sawssen Araichi & Lotfi Belkacem & Christian de Peretti, 2017. "“Reserve modelling and the aggregation of risks using time varying copula models," Post-Print hal-01764023, HAL.
    • Handle: RePEc:hal:journl:hal-01764023
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    Cited by:

    1. Saker Sabkha & Christian Peretti & Dorra Hmaied, 2019. "On the informational market efficiency of the worldwide sovereign credit default swaps," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 581-608, December.
    2. Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, vol. 72(C).
    3. Kumar, Satish & Tiwari, Aviral Kumar & Chauhan, Yogesh & Ji, Qiang, 2019. "Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 273-284.

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