An asymptotic study of systemic expected shortfall and marginal expected shortfall

DOI10.1016/J.INSMATHECO.2022.04.009zbMath1492.91406OpenAlexW4224736663MaRDI QIDQ2155852

Jiajun Liu, Yiqing Chen

Publication date: 15 July 2022

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.04.009

zbMATH Keywords

regular variationheavy-tailed distributionsasymptotic independencesystemic riskrandom weights

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (3)

A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks

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