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

共 50 条

[21] THE UNIFORM LOCAL ASYMPTOTICS OF THE OVERSHOOT OF A RANDOM WALK WITH HEAVY-TAILED INCREMENTS
Chen, Guochun
Wang, Yuebao
Cheng, Fengyang
STOCHASTIC MODELS, 2009, 25 (03) : 508 - 521
[22] Exact queueing asymptotics for multiple heavy-tailed on-off flows
Zwart, B
Borst, S
Mandjes, M
IEEE INFOCOM 2001: THE CONFERENCE ON COMPUTER COMMUNICATIONS, VOLS 1-3, PROCEEDINGS: TWENTY YEARS INTO THE COMMUNICATIONS ODYSSEY, 2001, : 279 - 288
[23] Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
Hagele, Miriam
STATISTICS & PROBABILITY LETTERS, 2020, 166
[24] Local asymptotics of a Markov modulated random walk with heavy-tailed increments
Bing Chang Wang
Yuan Yuan Liu
Acta Mathematica Sinica, English Series, 2011, 27 : 1843 - 1854
[25] Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks
Yiqing Chen
Jiajun Liu
Yang Yang
Methodology and Computing in Applied Probability, 2023, 25
[26] Matrix Mittag–Leffler distributions and modeling heavy-tailed risks
Hansjörg Albrecher
Martin Bladt
Mogens Bladt
Extremes, 2020, 23 : 425 - 450
[27] Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks
Chen, Yiqing
Liu, Jiajun
Yang, Yang
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2023, 25 (01)
[28] EQUIVALENT CONDITIONS OF LOCAL ASYMPTOTICS FOR THE OVERSHOOT OF A RANDOM WALK WITH HEAVY-TAILED INCREMENTS
王开永
王岳宝
尹传存
ActaMathematicaScientia, 2011, 31 (01) : 109 - 116
[29] Heavy-tailed asymptotics for a fluid model driven by an M/G/1 queue
Li, Quan-Lin
Liu, Liming
Shang, Weixin
PERFORMANCE EVALUATION, 2008, 65 (3-4) : 227 - 240
[30] Heavy-tailed densities
Rojo, Javier
WILEY INTERDISCIPLINARY REVIEWS-COMPUTATIONAL STATISTICS, 2013, 5 (01): : 30 - 40

← 1 2 3 4 5 →