Extreme value behavior of aggregate dependent risks

DOI10.1016/J.INSMATHECO.2011.10.008MaRDI QIDQ2427813zbMATH OpenOpenAlexFDO

Authors Die Chen, Tiantian Mao, Xiaoqing Pan, Taizhong Hu

Publication date 18 April 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.10.008

zbMATH Keywords

regular variationArchimedean copulavalue-at-riskextreme value distributionmaximum domain of attractionsupermodular orderconditional tail expectation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Asymptotic behavior of extremal events for aggregate dependent random variables
• Diversification of aggregate dependent risks
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• Aggregation of rapidly varying risks and asymptotic independence
• Aggregation of Dependent Risks with Heavy-Tail Distributions

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Cited in

(16)

• On the tail behaviour of aggregated random variables
• Diversification limit of quantiles under dependence uncertainty
• On the Tail Behavior of Sums of Dependent Risks
• Aggregation of Dependent Risks with Heavy-Tail Distributions
• Extreme market risk and extreme value theory
• On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
• Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
• Aggregation of rapidly varying risks and asymptotic independence
• The second-order version of Karamata's theorem with applications
• Multivariate extremes, aggregation and risk estimation
• Asymptotic behavior of extremal events for aggregate dependent random variables
• Diversification of aggregate dependent risks
• Heavy tails and copulas: limits of diversification revisited
• Aggregation of log-linear risks
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• On extremal behavior of aggregation of largest claims

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