Second order risk aggregation with the Bernstein copula

Guillaume Coqueret ()
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Guillaume Coqueret: EDHEC - EDHEC Business School - UCL - Université catholique de Lille

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Abstract: 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.

Keywords: Risk aggregation; Tail asymptotics; Bernstein copula; Value-at-Risk; Pareto and exponential variables (search for similar items in EconPapers)
Date: 2014-09-01
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Published in Insurance: Mathematics and Economics, 2014, 58, 150-158 p. ⟨10.1016/j.insmatheco.2014.07.002⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312227

DOI: 10.1016/j.insmatheco.2014.07.002

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