CAS Exam 7 Spring 2019, Question 20
Study guide: Exam 9
The following scatter plots were obtained from simulations of two different copulas with the same Kendall \tau.
Part a (0.75 points)
Identify which copula above is the Normal copula and which is the HRT copula. Fully justify your answer.
Part b (0.5 points)
Briefly describe one advantage for each of the two copulas above when used to aggregate the insured losses from multiple lines of business subject to catastrophe events.
Part c (1 point)
Explain which of the two copulas above will produce the higher result on the joint distribution for the following two metrics:
- i. Expected value
- ii.
V@R_{0.9}
Answer this question and see the worked solution