Program Description

"An Introduction to Copulas" will be an introductory session targeted to the general actuarial population. The presentation will cover the basic mathematical theory of copulas, explain why copulas are useful, and provide examples of their use. Intuition and understanding will be given priority over mathematical complexity.
Copulas are useful for modeling dependencies in a variety of situations. For example, a claim loss payment and its associated ALAE will show a dependency relationship. Higher claim payments more likely produce higher ALAE amounts. Prices of financial assets can be linked via copula models. Joint survival models where lives are dependent can be constructed with copulas.

Intended Audience

The general actuarial population who want to learn the basic mathematics of copulas and applications of copulas in actuarial science. The audience should have a basic understanding of probability theory including the concepts of random variables, independence, and joint distributions.