Asymptotics of Sum of Heavy-tailed Risks with Copulas

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Bibliographic Details
Main Authors:	Yang, Fan, Zhang, Yi
Format:	Preprint
Published:	2024
Subjects:	Risk Management
Online Access:	Acceder al recurso
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_version_	1866909389958414336
author	Yang, Fan Zhang, Yi
author_facet	Yang, Fan Zhang, Yi
contents	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.
format	Preprint
id	arxiv_https___arxiv_org_abs_2411_09657
institution	arXiv
publishDate	2024
record_format	arxiv
spellingShingle	Asymptotics of Sum of Heavy-tailed Risks with Copulas Yang, Fan Zhang, Yi Risk Management 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.
title	Asymptotics of Sum of Heavy-tailed Risks with Copulas
topic	Risk Management
url	https://arxiv.org/abs/2411.09657

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