Prima de la suma de dos riesgos dependientes PQD o NQD. Aplicación de algunas cópulas arquimedianas

The premium of the sum of two risks X and Y with positive dependence PQD and NQD negative dependence and its impact is studied in this paper using copulas as the general structure that governs such dependence. We propose a demonstration of Hoeffding’s lemma and is used to calculate the variance of . X Y+ Various premium principles (variance, standard deviation, variance as amended) and most commonly used measures of dependence (  of Kendall, dependence on the tail) are propoused and used. Several numerical examples risks of dependence with some Archi­medean copulas are presented.

• Autores: Escalante Coterio, César E.; Delima Marsh; Sánchez Zuleta, Carmen C.; Universidad de Medellín
• Tipo de recurso: Article of journal
• Fecha de publicación: 2014
• Institución: Universidad de Medellín
• Repositorio: Repositorio UDEM
• Idioma: spa
• OAI Identifier: oai:repository.udem.edu.co:11407/1841
• Acceso en línea: http://hdl.handle.net/11407/1841
• Palabra clave: Risk-dependent; Archimedean copulas; dependent risk premium; measures of dependence; dependencia de riesgos; cópulas arquimedianas; prima de riesgos dependientes; medidas de dependencia
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/