Guillén, MontserratSarabia Alegría, José MaríaPrieto, FaustinoJordá, Vanesa2020-04-202020-12-312019-120218-4885https://hdl.handle.net/2445/156040Straightforward methods to evaluate risks arising from several sources are specially difficult when risk components are dependent and, even more if that dependence is strong in the tails. We give an explicit analytical expression for the probability distribution of the sum of non-negative losses that are tail-dependent. Our model allows dependence in the extremes of the marginal beta distributions. The proposed model is flexible in the choice of the parameters in the marginal distribution. The estimation using the method of moments is possible and the calculation of risk measures is easily done with a Monte Carlo approach. An illustration on data for insurance losses is presented.12 p.application/pdfeng(c) World Scientific Publishing, 2019Risc (Assegurances)Avaluació del riscDistribució (Teoria de la probabilitat)Mètode de MontecarloRisk (Insurance)Risk assessmentDistribution (Probability theory)Monte Carlo methodinfo:eu-repo/semantics/article6981642020-04-20info:eu-repo/semantics/openAccess