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Revista Ingenierías Universidad de Medellín
Print version ISSN 1692-3324
Abstract
ESCALANTE COTERIO, César E and SANCHEZ ZULETA, Carmen C. Premium of the sum from two risks dependent PQD or NQD - archimedean copulas application. Rev. ing. univ. Medellín [online]. 2014, vol.13, n.25, pp.151-176. ISSN 1692-3324.
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 (τ of Kendall, dependence on the tail) are propoused and used. Several numerical examples risks of dependence with some Archimedean copulas are presented.
Keywords : Risk-dependent; Archimedean copulas; dependent risk premium; measures of dependence.