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  • Search: subject:"Pareto and exponential variables"
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Subject
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Bernstein copula 2 Pareto and exponential variables 2 Risk aggregation 2 Tail asymptotics 2 Value-at-Risk 2 Aggregation 1 Estimation theory 1 Multivariate Verteilung 1 Multivariate distribution 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Coqueret, Guillaume 2
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Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Second order risk aggregation with the Bernstein copula
Coqueret, Guillaume - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 150-158
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...
Persistent link: https://www.econbiz.de/10010930895
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Cover Image
Second order risk aggregation with the Bernstein copula
Coqueret, Guillaume - In: Insurance / Mathematics & economics 58 (2014), pp. 150-158
Persistent link: https://www.econbiz.de/10010437578
Saved in:
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