Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model (Q2682972): Difference between revisions
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Revision as of 22:13, 4 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model |
scientific article |
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Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model (English)
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1 February 2023
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The paper suggests a dynamic systemic risk measure based on a multi-dimensional renewal risk model to describe the instant expected shortfall of an insurer within a crisis context. After presenting the basic notions and necessary tools to develop the mathematical model, asymptotic results for dynamic systemic risk measure are obtained under both the asymptotic independence and asymptotic dependence cases. Proofs of the main results are appropriately divided into specific sections.
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dynamic systemic risk measure
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asymptotic behavior
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dependence
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regular variation
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