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Second order risk aggregation with the Bernstein copula

Author

Listed:
  • Guillaume Coqueret

    (EM - EMLyon Business School)

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.

Suggested Citation

  • Guillaume Coqueret, 2014. "Second order risk aggregation with the Bernstein copula," Post-Print hal-02312227, HAL.
    • Handle: RePEc:hal:journl:hal-02312227
    as

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