Risk aggregation and capital allocation using a new generalized Archimedean copula

DOI10.1016/J.INSMATHECO.2021.11.007MaRDI QIDQ2670109zbMATH OpenFDO

Authors Fouad Marri, Khouzeima Moutanabbir

Publication date 10 March 2022

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

Full work available at URL https://arxiv.org/abs/2103.10989

zbMATH Keywords

dependencecopulasvalue at riskcapital allocationtail value at riskBernstein copulas

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70)

Abstract: In this paper, we address risk aggregation and capital allocation problems in the presence of dependence between risks. The dependence structure is defined by a mixed Bernstein copula which represents a generalization of the well-known Archimedean copulas. Using this new copula, the probability density function and the cumulative distribution function of the aggregate risk are obtained. Then, closed-form expressions for basic risk measures, such as tail value-at-risk(TVaR) and TVaR-based allocations, are derived.

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Cited in

(13)

• Aggregation of dependent risks using the Koehler-Symanowski copula function
• Asymptotic results on tail moment for light-tailed risks
• A new non-parametric estimation of the expected shortfall for dependent financial losses
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• Asymptotic results on tail moment and tail central moment for dependent risks
• A copula-based risk aggregation model
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• Copula-based grouped risk aggregation under mixed operation.

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