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

¿Merece la pena invertir en energías limpias?

P. Gargallo Valero, M. Salvador Figueras, J. Miguel Álvarez, L. Lample Gracia


Latest news

  • 6/8/22
    Visit Alhambra

    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.

  • 5/31/22
    YouTube Channel

    The menu label is already on the web from where you can see the live broadcasts: inauguration, plenary sessions, round tables,... Don't forget to enter the YouTube channel and subscribe!!!!

  • 5/27/22
    Gala Dinner

    It opens the possibility that anyone who is registered for the conference, and wants non-registered companions to attend the gala dinner, can do so by paying the price of this dinner (80 euros VAT included). This payment must be made before June 1 (inclusive). To do this, contact with [email protected]

  • 5/23/22
    IMPORTANT WARNING

    To access the Alhambra on the visit on Thursday 9, it is obligatory to present the identification document whose reference was sent to the organization (eurocongress)

  • 5/16/22
    Social Events

    All social events are included with the payment of the corresponding registration.

Cookie policy

We use cookies in order to be able to identify and authenticate you on the website. They are necessary for the correct functioning of it, and therefore they can not be disabled. If you continue browsing the website, you are agreeing with their acceptance, as well as our Privacy Policy.

Additionally, we use Google Analytics in order to analyze the website traffic. They also use cookies and you can accept or refuse them with the buttons below.

You can read more details about our Cookie Policy and our Privacy Policy.