Risk aggregation and capital allocation using a new generalized Archimedean copula

Fouad Marri and Khouzeima Moutanabbir

Papers from arXiv.org

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.

Date: 2021-03
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

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