Selected work
Actuarial / Risk
Cross-Line Tail Risk Modelling
Dependence between mortality and catastrophe losses
A copula-based study of tail dependence between life-insurance mortality losses and property-catastrophe claims, examining how dependence assumptions affect aggregate losses, diversification and economic-capital estimates.
LIFE × PROPERTY CATASTROPHEPipeline output · synthetic data
Probability-integral transforms of each line
Problem
Aggregate capital estimates depend on how losses across lines are assumed to move together in the tail, where data is sparse and dependence assumptions matter most.
What I built
Mortality losses and property-catastrophe claims are aggregated under different copula specifications, then compared through aggregate loss distributions, diversification benefit and economic-capital estimates.
Methods
- Marginal loss modelling by line
- Copula-based dependence specification
- Joint loss simulation
- Aggregate loss distribution and economic-capital estimation
- Comparison of diversification benefit across dependence assumptions
Technology
- Python