| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076652 | Insurance: Mathematics and Economics | 2014 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Guillaume Coqueret,