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Article Dans Une Revue Insurance: Mathematics and Economics Année : 2014

Second order risk aggregation with the Bernstein copula

Guillaume Coqueret

Résumé

We analyze the tail of the sum of two random variables when the dependence structure is driven by the Bernstein family of copulas. We consider exponential and Pareto distributions as marginals. We show that the first term in the asymptotic behavior of the sum is not driven by the dependence structure when a Pareto random variable is involved. Consequences on the Value-at-Risk are derived and examples are discussed.
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hal-02312227 , version 1 (28-02-2020)

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  • HAL Id : hal-02312227 , version 1

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Guillaume Coqueret. Second order risk aggregation with the Bernstein copula. Insurance: Mathematics and Economics, 2014, 58, 150-158 p. ⟨hal-02312227⟩

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