Aggregation in dependent risks with Archimedean copulas: some new results and applications with tempered stable, lognormal and GB2 mixing distributions
J. M. Sarabia, M. Guillén Estany, E. Gómez Déniz
The study of the distribution of the sum of dependent risks is a relevant topic in actuarial sciences, risk management and in many branches of applied probability. In this research, we consider new results of aggregation of dependent risks with Archimedean copulas, when the mixing distribution belongs to the classes of tempered stable (TS), lognormal and Generalized beta of the second kind as mixing distributions. First, we consider the distribution of the sum of dependent risks with Archimedean copula with TS mixing distribution. In this case, we obtain analytic formulas for the distribution of the aggregated risks and its main features. In the second part of the paper, we explore the aggregated distributions when the mixing distribution is a lognormal and a generalized beta of the second kind.
Keywords: Archimedean copulas, aggregation, risk measures
Scheduled
GT15 Risk Analysis
June 7, 2022 12:00 PM
A03
Other papers in the same session
R. Peláez, I. Van Keilegom, R. CAO, J. VILAR
P. Gargallo Valero, M. Salvador Figueras, J. Miguel Álvarez, L. Lample Gracia
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6/8/22
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Tomorrow, Thursday, we will visit the Alhambra. 1. At 7:00 p.m., buses will start leaving from the door of the Hotel Granada Center (in front of the door of the Faculty of Sciences) 2. Upon arrival, groups with guides will be organized. 3. There will be groups in English language. These groups will wait at the destination until the arrival of all buses. 4. After the visit to the Alhambra we will walk to the Carmen de los Mártires to have a cocktail. 5. On the way back, we can go back by bus, which will leave from the same place where they left us at the Alhambra. 6. Although the way to the Alhambra by bus seems long, it really is close to the city. We invite you, whoever wishes, to go down for a pleasant walk. 7. Do not forget to take your Alhambra ticket and your identity card or passport. The document must be the same whose number matches the ticket number you have.
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5/27/22
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5/23/22
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5/16/22
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