Asymptotic Analysis of Multivariate Tail Conditional Expectations

DOI10.1080/10920277.2012.10590646zbMATH Open1291.60108OpenAlexW2120238068MaRDI QIDQ5168697FDOQ5168697

Authors: L. Zhu, Haijun Li 

Publication date: 19 July 2014

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2012.10590646

Recommendations

• Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
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• Multivariate tail estimation with application to analysis of CoVaR

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Cites Work

• Title not available (Why is that?)
• Computation of multivariate normal and \(t\) probabilities
• Tail dependence functions and vine copulas
• Coherent measures of risk
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• Heavy-Tail Phenomena
• Stochastic orders
• Conditional tail expectations for multivariate phase-type distributions
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
• Tail risk of multivariate regular variation
• Tail dependence for multivariate copulas and its monotonicity
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Orthant tail dependence of multivariate extreme value distributions
• Diversification of aggregate dependent risks
• Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions

Cited In (41)

• On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Conditional excess risk measures and multivariate regular variation
• Dependence in a background risk model
• First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
• Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
• Second order regular variation and conditional tail expectation of multiple risks
• Asymptotic results on tail moment for light-tailed risks
• Risk contagion under regular variation and asymptotic tail independence
• Tail densities of skew-elliptical distributions
• Tails of higher-order moments with dominatedly varying summands
• Asymptotics for risk capital allocations based on conditional tail expectation
• Optimal capital allocation based on the tail mean-variance model
• Toward a copula theory for multivariate regular variation
• Second-order properties of tail probabilities of sums and randomly weighted sums
• Tail conditional expectation for the bivariate Pareto distribution of first kind
• Extremes for coherent risk measures
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Higher order tail densities of copulas and hidden regular variation
• Tail conditional expectation for multivariate distributions: a game theory approach
• Fast accurate algorithms for tail conditional expectation
• Varying confidence levels for CVaR risk measures and minimax limits
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Asymptotic results on marginal expected shortfalls for dependent risks
• Asymptotic analysis of simultaneous damages in spatial Boolean models
• Conditional risk measures in a bipartite market structure
• Asymptotic results on tail moment and tail central moment for dependent risks
• Multivariate regularly varying insurance and financial risks in multidimensional risk models
• Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
• Strength of tail dependence based on conditional tail expectation
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Tail risk of multivariate regular variation
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Tail Conditional Expectations for Exponential Dispersion Models
• Conditional tail expectations for multivariate phase-type distributions
• Tail behavior of weighted sums of order statistics of dependent risks
• Empirical tail conditional allocation and its consistency under minimal assumptions
• Asymptotic analysis of the loss given default in the presence of multivariate regular variation

Uses Software

• QRM

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