Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion

Yıl 2019, Cilt: 12 Sayı: 1, 1 - 12, 31.07.2019

Kübra Durukan , Hasan Orkcu , Emel Kizilok Kara

Öz

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.

Anahtar Kelimeler

Bivariate risk aversion, utility copula, dependence, bivariate utility function, risk premium vector

Kaynakça

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