Exact tail asymptotics of aggregated parametrised risk

DOI10.1016/J.JMAA.2012.11.047MaRDI QIDQ1936217zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva

Publication date 21 February 2013

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.0144

zbMATH Keywords

log-normal distributionlogarithmic efficiencyrare-event simulationrisk aggregationlog-elliptical distribution

Mathematics Subject Classification ID

Abstract: Let X be a generalised symmetrised Dirichlet random vector in R^k, and let u_n be thresholds such that P{X> u_n} tends to 0 as n goes infinity. In this paper we derive an exact asymptotic expansion of P{X> u_n} assuming that the associated random radius of X has distribution function in the Gumbel max-domain of attraction

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Cited in

(15)

• Copula-based grouped risk aggregation under mixed operation.
• Tail asymptotics of random sum and maximum of log-normal risks
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• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• Aggregation of log-linear risks
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• An asymptotic characterization of hidden tail credit risk with actuarial applications
• On extremal behavior of aggregation of largest claims
• Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
• EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
• Max-sum equivalence of conditionally dependent random variables
• Extremes of aggregated Dirichlet risks
• Extremes and products of multivariate AC-product risks
• Tail behavior of weighted sums of order statistics of dependent risks
• Tail asymptotic of Weibull-type risks

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