Current actuarial industry practice for modelling dependencies does not typically include the use of vine copulas. The main aim for the group is to increase their use within the actuarial community. This will be done by providing examples showing how they are useful, and providing details on how to use them in practice.

Some of our research questions are:

• To what extent can existing dependence structures in capital models be interpreted as vines, and what benefits arise from this reinterpretation?
• Can the use of vine copulas aid with expert judgement elicitation for modelling dependencies?
• Can so called “aggregation trees” be interpreted in a vine copula context?
• How best to specify a factor-based dependence model using a vine copula?

Chair:

Established: 2025