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.
Palabras clave: Archimedean copulas, aggregation, risk measures
Programado
GT15 Análisis de Riesgos
7 de junio de 2022 12:00
A03
