Sección: ArtículosTítulo: Second order risk aggregation with the Bernstein copula / Guillaume CoqueretAutor: Coqueret, GuillaumeNotas: Sumario: 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/09/2014 Volumen 58 Número 1 - septiembre 2014 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
