Asymptotics of Sum of Heavy-tailed Risks with Copulas

被引：0
|
作者：
Yang, Fan [1 ]
Zhang, Yi [2 ]
机构：
[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L3G1, Canada
[2] Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2023年 / 25卷 / 04期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Tail asymptotics; Heavy tail; Copula; Aggregate risk; PORTFOLIO DIVERSIFICATION; DEPENDENCE; CONVOLUTIONS; BEHAVIOR;
D O I：
10.1007/s11009-023-10066-7
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each example we apply the main results to obtain the asymptotic expansions for Value-at-Risk of aggregate risk.
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页数：23
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