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Assignment X3 Question X3.5 (iii) b & c

A

Alp Can

Made first post
The copula is given to be Clayton. How can the max and min possible probabilities abide by the co-monotonic and counter-monotonic copula, which are different from Clayton copula?
 
Hi Alp,

Ah - here, we are not looking for the Clayton copula, rather to recognise and apply the copulas representing the upper bound (co-monotonic copula) and lower bound (counter-monotonic copula) for the probability of ruin of both companies for the next year, to the values of u and v previously calculated. I see how you would think that the Clayton applies to (b) and (c) by the preamble though and agree it is a little ambiguous!

I hope that is clear but please let me know if it is not.

Alvin.
 
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