Premium of the sum from two risks dependent PQD or NQD - archimedean copulas application

Main Article Content

César E. Escalante Coterio
Carmen C. Sánchez Zuleta

Abstract

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.


How to Cite
Escalante Coterio, C. E., & Sánchez Zuleta, C. C. (2015). Premium of the sum from two risks dependent PQD or NQD - archimedean copulas application. Revista Ingenierías Universidad De Medellín, 13(25), 151–176. https://doi.org/10.22395/rium.v13n25a10

Article Details

Author Biographies

César E. Escalante Coterio, Delima Marsh

Consultor de Riesgos, MSc. Delima Marsh S.

Carmen C. Sánchez Zuleta, Universidad de Medellín

MSc. Matemáticas. Profesora investigadora, Universidad de Medellín