Asymptotics for value at risk and conditional tail expectation of a portfolio loss

被引：3
|
作者：
Su, Xiaonan [1 ]
Wang, Xinzhi [1 ]
Yang, Yang [1 ]
机构：
[1] Nanjing Audit Univ, Sch Stat Math, Nanjing 211815, Peoples R China
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2021年 / 37卷 / 02期
关键词：
asymptotics; conditional tail expectation; heavy tailed distribution; quasi-asymptotic independence; value at risk; RANDOMLY WEIGHTED SUMS; RANDOM-VARIABLES; DISTORTION RISK; INSURANCE; EXTREMES; MODEL;
D O I：
10.1002/asmb.2561
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Consider a risk model in whichX(1), horizontal ellipsis , X(n)arenpotential losses from different risky assets at the terminal time, and theta 1, horizontal ellipsis ,theta narendiscount factors over the period. In this paper, we establish some asymptotic formulas for the value at risk and conditional tail expectation of the total discounted lossSn= n-ary sumation i=1n theta iXiof an investment portfolio. We also demonstrate our obtained results through Monte Carlo simulations with asymptotics.
引用
收藏
页码：266 / 281
页数：16
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