Week 11

Overview #

Continuing on with the Claims Modelling component of the subject, which corresponds to the Section 1 of the CS2 syllabus we will cover Module 5–Copulas–and

• discuss what stochastic dependence means, how it arises in an insurance context, and discuss some examples;
• discuss how to extract the mathematical form of a stochastic dependence structure through copulas;
• briefly discuss how to use copulas in practice

See also detailed learning outcomes 1.3 of the CS2 syllabus here.

Main references and lectures #

Module 5 #

Read: Module 5 SLIDES

annotated slides (UG) | annotated slides (PG)

Watch: refer to your lecture recording under “Lecture Capture” ( UG/ PG). This is where annotated slides will be made available, too.

Additional preparation and resources #

Mandatory #

1. CS2, Unit 3 - Copulas (available from Readings Online)

Optional #

1. Nelsen (1999) as additional resource.

Tutorials #

Note that a full list of exercises is available here. Please let us know of any mistake or required update on Ed.

Pre-Tutorial work #

Please study those questions before the tutorial.

Pre-Tutorial exercises are available in the Pre-Tutorial book, which already includes solutions. It is recommended to attempt the questions before looking at the solutions

Tutorial materials #

Some questions have been especially selected for the tutorials. Students should review and attempt those questions prior to their scheduled tutorial, after they complete the pre-tutorial work.

The Tutorial book includes all questions for the whole semester already, but solutions will only be added sequentially at the end of each week, as we work our way through the set.

Note that solutions will be gradually added to that same document. Hence it is not recommended to print it, as it will regularly change (typos will also dynamically be corrected).

This week #

This week, we will cover Module 5 tutorials.

Next week (week 12) #

Next week, tutorials will focus on Module 6.

Additional questions #

The “additional questions” are here for reinforcement or revision, but are not the main focus of the tutorials. Solutions for those exercises are already available.

Preparation for assessment #

Mid-semester (15%) and final (60%) exams #

Mid-semester exam is done! 😄

For the final exam:

• Finalise your Summary of Module 4.
• Start a Summary of Module 5.

Assignment (25%) #

The Assignment is done! 😄

References #