Funkcje łączące w agregacji ryzyka ubezpieczyciela
Copula functions in the aggregation of insurer risk

Summary/Abstract: The article concerns the issue related to the aggregation of risk in case when its ingredients are characterized by heterogeneity of marginal distributions. Additionally, it has been assumed that the structure of dependencies among the risk factors can be described by means of copula functions, however, only partial information that allows to determine some limits for Value-at-Risk measure is available. In order to solve a hypothetical problem where the parameters of relevant distributions have been determined in advance, Williamson and Downson’s algorithm (which allows to find an approximate solution) has been applied.

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