Risk aggregation under Schur-constant dependence

J. M. Sarabia, M. Guillen Estany, J. Navarro, E. Gómez-Déniz

This paper investigates the aggregate distribution of Schur-constant dependent risks. We address the problem of risk aggregation of two risks, where the marginal distributions are selected and the Schur-constant dependence structure is utilized. To illustrate these methodologies, we present several models commonly used in everyday risk management practices, including Pareto, second kind beta and Weibull among others.

Keywords: Distributions of sums, C-convolutions, Pareto aggregation, distribution of total claims

Scheduled

GT Análisis de Riesgos
September 2, 2026  5:40 PM
Aula 20

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