Extreme value behavior of aggregate dependent risks
The authors consider a portfolio of \(n\) identically distributed risks with dependence structure modeled by Archimedean survival copula. It is known that probability of a large aggregate loss scales like the probability of a large individual loss, times a proportionality factor. The factor depends on the dependence strength and the tail behavior of the individual risk. There are three specific cases according to whether the tail behavior belongs to the maximum domain of attraction of the Frechet, the Weibull or the Gumbel distribution. The authors investigate the properties of the factors in Weibull and Gumbel cases with respect to the dependence parameter and tail behavior parameter. They also revisit the asymptotic behavior of conditional tail expectations of aggregate risks for the Weibull and the Gumbel cases by using a different method.
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