Extreme value behavior of aggregate dependent risks

DOI10.1016/j.insmatheco.2011.10.008zbMath1239.91076OpenAlexW2049786294MaRDI QIDQ2427813

Die Chen, Taizhong Hu, Tiantian Mao, Xiaoqing Pan

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 variationvalue-at-riskextreme value distributionArchimedean copulasupermodular ordermaximum domain of attractionconditional tail expectation

Mathematics Subject Classification ID

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

Related Items

Diversification limit of quantiles under dependence uncertainty, Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions, Heavy tails and copulas: limits of diversification revisited, On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails, The second-order version of Karamata's theorem with applications, ASYMPTOTIC BEHAVIOR OF EXTREMAL EVENTS FOR AGGREGATE DEPENDENT RANDOM VARIABLES, On the tail behaviour of aggregated random variables

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