Second order asymptotics of aggregated log-elliptical risk

DOI10.1007/S11009-013-9356-5zbMATH Open1322.60037arXiv1405.0605OpenAlexW3100441015MaRDI QIDQ2513664FDOQ2513664

Authors: Enkelejd Hashorva, Dominik Kortschak 

Publication date: 28 January 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: In this paper we establish the error rate of first order asymptotic approximation for the tail probability of sums of log-elliptical risks. Our approach is motivated by extreme value theory which allows us to impose only some weak asymptotic conditions satisfied in particular by log-normal risks. Given the wide range of applications of the log-normal model in finance and insurance our result is of interest for both rare-event simulations and numerical calculations. We present numerical examples which illustrate that the second order approximation derived in this paper significantly improves over the first order approximation.

Full work available at URL: https://arxiv.org/abs/1405.0605

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zbMATH Keywords

Monte Carlo simulationlog-normal distributionrisk aggregationGumbel max-domain of attractionsecond order asymptoticslog-elliptical distribution

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Limit theorems in probability theory (60F99)

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Cited In (5)

• Tail asymptotics of random sum and maximum of log-normal risks
• Tail behavior of sums and differences of log-normal random variables
• Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
• Fast and accurate computation of the distribution of sums of dependent log-normals
• Second-order asymptotics of the risk concentration of a portfolio with deflated risks

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