Second order risk aggregation with the Bernstein copula

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.

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Year of publication:	2014
Authors:	Coqueret, Guillaume
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 58.2014, C, p. 150-158
Publisher:	Elsevier
Subject:	Risk aggregation \| Tail asymptotics \| Bernstein copula \| Value-at-Risk \| Pareto and exponential variables

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010930895