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.

引用

页数：23

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