Demystifying copulas: An interactive lesson: Difference between revisions

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Created page with "<div style="text-align:justify"> '''Year of publication''': 2024 '''Access''': Open '''Link''': https://zenodo.org/records/12533412, https://doi.org/10.5281/zenodo.12533412 '''Organisation(s) / Author(s)''': John Hillier, Loughborough Univeristy '''Description''' An EXCEL-based exploration, creating your first copula in a step-by-step exercise. Then, using this to understand how correlation affects joint risk in multi-hazard / compound risk scenarios through simulat..."
 
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{{MHRA
'''Year of publication''': 2024
|Publication Year=2024
|Access=Open
|Link=https://zenodo.org/records/12533412, https://doi.org/10.5281/zenodo.12533412
|Author(s)=John Hillier, Nikolas Petalas, Tom Perkins
|Description=A guide to using copulas to correlate random variable, for example two types of loss. This guide provides an introduction to copulas, how they can be used in operational risk modelling for multi-hazard / compound risk scenarios through simulation.


'''Access''': Open
The link provides an Excel based exercise designed as an interactive lesson to learn more about copulas.
 
|Key Words=Copula, Insurance, Risk correlation, Natural hazard, Dependency, Co-occurring hazards, Compound risk
'''Link''': https://zenodo.org/records/12533412, https://doi.org/10.5281/zenodo.12533412
}}
 
'''Organisation(s) / Author(s)''': John Hillier, Loughborough Univeristy
 
'''Description'''
 
An EXCEL-based exploration, creating your first copula in a step-by-step exercise. Then, using this to understand how correlation affects joint risk in multi-hazard / compound risk scenarios through simulation.
 
'''Technical considerations'''
None
 
'''Keywords'''
 
Copula, Insurance, Risk correlation, Natural hazard, Dependency, Co-occurring hazards, Compound risk  
 
 
Back to '''[[Multi-hazard Risk Assessment|<span style="color: #374CFF">Multi-hazard Risk Assessment]]'''
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Latest revision as of 16:01, 4 April 2025

Author(s): John Hillier, Nikolas Petalas, Tom Perkins

Organisation(s)/Authors:

Description:

A guide to using copulas to correlate random variable, for example two types of loss. This guide provides an introduction to copulas, how they can be used in operational risk modelling for multi-hazard / compound risk scenarios through simulation. The link provides an Excel based exercise designed as an interactive lesson to learn more about copulas.

Technical Considerations:

Key Words:

Copula, Insurance, Risk correlation, Natural hazard, Dependency, Co-occurring hazards, Compound risk

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