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Second order risk aggregation with the Bernstein copula
Journal article   Peer reviewed

Second order risk aggregation with the Bernstein copula

Guillaume Coqueret
Insurance: Mathematics and Economics, pp.150-158
01/09/2014

Abstract

Risk aggregation Tail asymptotics Bernstein copula Value-at-Risk Pareto and exponential variables
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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Citation topics
6 Social Sciences
6.10 Economics
6.10.373 Ruin Probability
Web of Science research areas
Economics
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Statistics & Probability
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