Jeungbo Shim, Eun-Joo Lee, Seung-Hwan Lee
International Journal of Business and Economics,Vol. 9, Issue 3, Pages: 213.
This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas to estimate Value at Risk and expected shortfall using a sample of firms in the US property-liability insurance industry. We perform goodness-of-fit tests to assess the adequacy of the copula models selected. We find that a versatile copula is effective in estimating dependence structures of non-homogeneous multivariate risks.[PUBLICATION ABSTRACT]