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
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Cites Work
- Title not available (Why is that?)
- An introduction to copulas.
- THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
- Limit theory for bilinear processes with heavy-tailed noise
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- On the Tail Behavior of Sums of Dependent Risks
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Asymptotics of sums of lognormal random variables with Gaussian copula
- Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives
- The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Diversification of aggregate dependent risks
- On sums of conditionally independent subexponential random variables
- Some asymptotic results for sums of dependent random variables, with actuarial applications
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- Aggregation of rapidly varying risks and asymptotic independence
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
Cited In (5)
- Dependence modeling in non-life insurance using the Bernstein copula
- COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
- 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
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