  In this paper, we address risk aggregation and capital allocation problems in
the presence of dependence between risks. The dependence structure is defined
by a mixed Bernstein copula which represents a generalization of the well-known
Archimedean copulas. Using this new copula, the probability density function
and the cumulative distribution function of the aggregate risk are obtained.
Then, closed-form expressions for basic risk measures, such as tail
value-at-risk(TVaR) and TVaR-based allocations, are derived.
