In order to explain the
dependency structure of random variables, copula functions are frequently used
in areas such as insurance, actuarial and risk. In addition, the concept of
risk aversion can be considered as a decision making parameter and insurance
companies can calculate the risk premium by taking advantage of this parameter.
In this study, risk aversion coefficient and risk premium based on utility
copulas were calculated for dependent bivariate risks. For this, bivariate risk
aversion coefficient and risk premium vector of the utility copula defined in
Kettler (2007) were found. Numerical results are presented in tables and graphs
for various dependency parameter values.
Bivariate risk aversion utility copula dependence bivariate utility function risk premium vector
Birincil Dil | İngilizce |
---|---|
Konular | Matematik |
Bölüm | Araştırma Makalesi |
Yazarlar | |
Yayımlanma Tarihi | 31 Temmuz 2019 |
Kabul Tarihi | 25 Mart 2019 |
Yayımlandığı Sayı | Yıl 2019 Cilt: 12 Sayı: 1 |