Tail risk of multivariate regular variation

DOI10.1007/S11009-010-9183-XzbMath1239.62060OpenAlexW1997182029MaRDI QIDQ429988

Haijun Li, Joe, Harry

Publication date: 20 June 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9183-x

zbMATH Keywords

copulastail dependencetail conditional expectationcoherent risk

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (29)

Operator tail dependence of copulas ⋮ Conditional marginal expected shortfall ⋮ Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Extremes for coherent risk measures ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims ⋮ A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ Choice of Copulas in Explaining Stock Market Contagion ⋮ Tail densities of skew-elliptical distributions ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Tail distortion risk and its asymptotic analysis ⋮ Asymptotic analysis of simultaneous damages in spatial Boolean models ⋮ Asymptotics for risk capital allocations based on conditional tail expectation ⋮ Second order regular variation and conditional tail expectation of multiple risks ⋮ Risk contagion under regular variation and asymptotic tail independence ⋮ Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation ⋮ Asymptotic Analysis of Multivariate Tail Conditional Expectations ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation ⋮ Optimal capital allocation based on the tail mean-variance model ⋮ A New Characterization of Bivariate Copulas ⋮ Conditional excess risk measures and multivariate regular variation ⋮ Set Optimization—A Rather Short Introduction ⋮ Multivariate matrix Mittag-Leffler distributions ⋮ Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ Conditional quantiles and tail dependence ⋮ Higher order tail densities of copulas and hidden regular variation

Uses Software

• QRM

Cites Work

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