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Persistent link: https://www.econbiz.de/10010437578
We analyze the tail of the sum of two random variables when the dependence structure is driven by the Bernstein family of copulas. We consider exponential and Pareto distributions as marginals. We show that the first term in the asymptotic behavior of the sum is not driven by the dependence...
Persistent link: https://www.econbiz.de/10010930895