Risk aggregation and capital allocation using a new generalized Archimedean copula
提出一种混合伯恩斯坦连接函数来刻画风险间的相依性，并推导出聚合风险的概率分布及尾部风险价值等风险度量的闭式表达式，用于风险聚合与资本配置。
In this paper, we address risk aggregation and capital allocation problems in the presence of dependence between risks. The dependence structure is defined by a mixed Bernstein copula which represents a generalization of the well-known Archimedean copulas. Using this new copula, the probability density function and the cumulative distribution function of the aggregate risk are obtained. Then, closed-form expressions for basic risk measures, such as tail value at risk (TVaR) and TVaR-based allocations, are derived.