13 citations · 21 across the 16 of their papers we have counts for
5 papers · 1 filter
A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
Christopher Blier-Wong, Hélène Cossette, Sébastien Legros +1
We propose an approach to construct a new family of generalized Farlie-Gumbel-Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can model moderate…
Collective risk models with FGM dependence
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
We study copula-based collective risk models when the dependence structure is defined by a Farlie-Gumbel-Morgenstern (FGM) copula. By leveraging a one-to-one correspondence between…
Risk aggregation with FGM copulas
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we discover new results and revisit existing ones, providing simpler formulas than one can find in t…
Efficient evaluation of risk allocations
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
Expectations of marginals conditional on the total risk of a portfolio are crucial in risk-sharing and allocation. However, computing these conditional expectations may be challeng…
Exchangeable FGM copulas
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
Copulas are a powerful tool to model dependence between the components of a random vector. One well-known class of copulas when working in two dimensions is the Farlie-GumbelMorgen…