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.

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

GT Análisis de Riesgos
2 de septiembre de 2026  17:40
Aula 20

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