Asymptotic results on marginal expected shortfalls for dependent risks

DOI10.1016/J.INSMATHECO.2021.12.003MaRDI QIDQ2670113zbMATH OpenOpenAlexFDO

Authors Jinzhu Li

Publication date 10 March 2022

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.12.003

zbMATH Keywords

asymptotic dependenceasymptotic independenceGumbel max-domain of attractionheavy-tailed distributionmarginal expected shortfall

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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Cites work

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Cited in

(17)

• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• An asymptotic study of systemic expected shortfall and marginal expected shortfall
• Asymptotics of multivariate conditional risk measures for Gaussian risks
• Asymptotics for Operational Risk Quantified with Expected Shortfall
• Asymptotics for systemic risk with dependent heavy-tailed losses
• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Asymptotic results on tail moment for light-tailed risks
• Asymptotic results on tail moment and tail central moment for dependent risks
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• Asymptotic analysis of a contagion risk measure with some dependence structures
• The asymptotic behavior of tail moments for light-tailed risks with Sarmanov dependence structure
• Positively decreasing and related distributions under dependence
• The principle of a single big jump from the perspective of tail moment risk measure
• Asymptotics for the conditional higher moment coherent risk measure with weak contagion
• Estimates for systemic risk measures in the presence of heavy tails
• Random vectors in the presence of a single big jump
• Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims

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