首页|Asymptotic risk decomposition for regularly varying distributions with tail dependence

Asymptotic risk decomposition for regularly varying distributions with tail dependence

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  • NSTL
  • Elsevier
In this paper we investigate the limiting behaviour of Conditional Tail Expectation (CTE) and its decomposition for a sum of real-valued tail-dependent random variables with regularly varying distributions. Asymptotic proportions to the corresponding Value at Risk (VaR) measures are obtained for a flexible dependence structure. For a certain practical case considering an investment portfolio exact formulas are derived and sensitivity to model parameters is analysed. We also carry out a simulation study verifying our results and revealing the speed of convergence for different values of parameters. (C) 2022 Elsevier Inc. All rights reserved.

Asymptotic risk decompositionRegular variationTail dependenceValue at riskCapital allocationConditional tail expectationRANDOMLY WEIGHTED SUMSINDEPENDENT RANDOM-VARIABLESDISCRETE-TIME RISKRUIN PROBABILITYMODELEXPECTATIONINSURANCEFINITE

Jaune, Egle、Siaulys, Jonas

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Vilnius Univ

2022

10.1016/j.amc.2022.127164

Applied mathematics and computation

Applied mathematics and computation

EISCI
ISSN：0096-3003
年,卷(期)：2022.427
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