Photo of Donald F. Behan

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  • Consulting - Capsule descriptions of principal areas of my consulting practice
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  • Meeting Handouts - Documents from my presentation at the Society of Actuaries meeting on May 10, 2007

 

Handouts for the May 10 Society of Actuaries Meeting

My presentation at the Society of Actuaries meeting included the current drafts of three files that I prepared with Prof. Sam Cox of Georgia State University. These files are a PowerPoint slide overview of the project, a paper that explains the procedure for constructing a copula to explore the dependence relationships of extreme events, and an Excel workbook that can be used for constructing copulas. These drafts may be downloaded from the links below, pending their completion and posting on the Society of Actuaries web site. In addition, a link is provided to a bibliography that we have prepared, which has been accepted and posted by the Society of Actuaries.

PowerPoint presentation on Constructed Copulas

Paper on Constructed Copulas (pdf format)

Excel workbook for constructing copulas

We have prepared a bibliography of references on dependence of extreme events. It is posted on the Society of Actuaries website. Click this link to open the bibliography.

Sam Cox has prepared a Mathematica program, copula.nb, to carry out the computations illustrated in the Excel workbook. This program will be preferrable for those who would like to increase the number of dimensions of the copula. The file can be viewed with the free Mathematica Player, but the commercial Mathematica program will be required to run it.
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