Risk aggregation and capital allocation using a new generalized Archimedean copula
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Publication:2670109
DOI10.1016/J.INSMATHECO.2021.11.007zbMATH Open1484.91398arXiv2103.10989MaRDI QIDQ2670109FDOQ2670109
Authors: Fouad Marri, Khouzeima Moutanabbir 
Publication date: 10 March 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2103.10989
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Actuarial mathematics (91G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70)
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Cited In (13)
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