Jamie Tao

Westpac Bank

Sydney

Australia

UNSW Business School

UNSW Business School

High St

Sydney, NSW 2052

Australia

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Scholarly Papers (1)

1.

Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean Lévy Copulas

Forthcoming in Annals of Actuarial Science (2015) , UNSW Australian School of Business Research Paper No. 2014ACTL05
Number of pages: 32 Posted: 04 Jul 2014 Last Revised: 28 Sep 2015
UNSW Australia Business School, School of Risk and Actuarial Studies, Westpac Bank, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
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Citation 1

Abstract:

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Lévy copula, Exchangeability, Dependence, Nested copulas, Insurance claims