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Article
Second order risk aggregation with the Bernstein copula
in Insurance: Mathematics and Economics, 58
Voir la revue «Insurance : Mathematics and Economics»
Autres numéros de la revue «Insurance : Mathematics and Economics»
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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