Econophysics and copula dependence structure in counterparty & insurance risks

Siti Mohd Ramli

Research output: Contribution to journalMeeting abstract

Abstract

To provide a pricing framework for financial & insurance instruments that captures various types of multivariate dependence structure using a combined statistical and econophysics approaches.
Original languageEnglish
Pages (from-to)41
Number of pages1
JournalExpo 2013 Higher Degree Research : book of abstracts
Publication statusPublished - 2013
EventHigher Degree Research Expo (9th : 2013) - Sydney
Duration: 5 Nov 20137 Nov 2013

Keywords

  • copula
  • multivariate mean reverting jump diffusion model
  • compound Poisson aggregate discounted claim
  • Volterra integral equation
  • Laplace transform
  • martingale

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