On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails

被引：1

作者：

Xing, Guo-dong ^{[1
,2
]}

Li, Xiaohu ^{[3
]}

Yang, Shanchao ^{[4
]}

机构：

[1] Xiamen Univ, Sch Math Sci, Xiamen, Peoples R China

[2] Shangrao Normal Univ, Sch Math & Comp Sci, Shangrao, Peoples R China

[3] Stevens Inst Technol, Dept Math Sci, Hoboken, NJ 07030 USA

[4] Guangxi Normal Univ, Sch Math & Stat, Guilin, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2020年 / 49卷 / 08期

基金：

美国国家科学基金会;

关键词：

Asymptotics; Bivariate Eyraud-Farlie-Gumbel-Morgenstern copula; Portfolio loss; Power-law; Tail conditional expectation;

D O I：

10.1080/03610918.2018.1510526

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：

In the setting of bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails characterized by the power law of tail decay, we present the asymptotics of tail conditional expectation for portfolio loss as the confidence level tends to one. In order to illustrate the obtained result, a numerical example and its relevant simulation are carried out.

引用

页码：2049 / 2058

页数：10

共 2 条

[1] On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
Xing, Guo-dong
Gan, Xiaoli
Li, Xiaohu
Yang, Shanchao
[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2020, 49 (09) : 2462 - 2471
[2] Asymptotics for value at risk and conditional tail expectation of a portfolio loss
Su, Xiaonan
Wang, Xinzhi
Yang, Yang
[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2021, 37 (02) : 266 - 281

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