Second order risk aggregation with the Bernstein copula

DOI10.1016/J.INSMATHECO.2014.07.002zbMATH Open1304.62128OpenAlexW1983577531MaRDI QIDQ2513630FDOQ2513630

Authors Guillaume Coqueret 

Publication date 28 January 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2014.07.002

zbMATH Keywords

tail asymptoticsrisk aggregationValue-at-RiskBernstein copulaPareto and exponential variables

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Risk aggregation and capital allocation using a new generalized Archimedean copula
• On the tail behaviour of aggregated random variables
• On the Tail Behavior of Sums of Dependent Risks

Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Aggregation of rapidly varying risks and asymptotic independence
• An introduction to copulas.
• Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• Asymptotic results for the sum of dependent non-identically distributed random variables
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Asymptotics of sums of lognormal random variables with Gaussian copula
• Diversification of aggregate dependent risks
• Limit theory for bilinear processes with heavy-tailed noise
• On sums of conditionally independent subexponential random variables
• On the Tail Behavior of Sums of Dependent Risks
• Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
• Some asymptotic results for sums of dependent random variables, with actuarial applications
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Cited in

(7)

• Sum of Bernoulli mixtures: beyond conditional independence
• AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Dependence modeling in non-life insurance using the Bernstein copula
• Asymptotics of sum of heavy-tailed risks with copulas
• Risk aggregation and capital allocation using a new generalized Archimedean copula
• COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS

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Uses Software

• LambertW

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