Asymptotic Analysis of Multivariate Tail Conditional Expectations

DOI10.1080/10920277.2012.10590646zbMath1291.60108OpenAlexW2120238068MaRDI QIDQ5168697

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

Mathematics Subject Classification ID

Related Items (30)

Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Extremes for coherent risk measures ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ Conditional risk measures in a bipartite market structure ⋮ Strength of tail dependence based on conditional tail expectation ⋮ Tail densities of skew-elliptical distributions ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Tail conditional expectation for multivariate distributions: a game theory approach ⋮ Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures ⋮ First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation ⋮ Asymptotic analysis of simultaneous damages in spatial Boolean models ⋮ Second order regular variation and conditional tail expectation of multiple risks ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ Risk contagion under regular variation and asymptotic tail independence ⋮ Dependence in a background risk model ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Optimal capital allocation based on the tail mean-variance model ⋮ Conditional excess risk measures and multivariate regular variation ⋮ Varying confidence levels for CVaR risk measures and minimax limits ⋮ Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model ⋮ Higher order tail densities of copulas and hidden regular variation

Uses Software

• QRM

Cites Work

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• Tail risk of multivariate regular variation
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
• Stochastic orders
• Orthant tail dependence of multivariate extreme value distributions
• Tail dependence for multivariate copulas and its monotonicity
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Computation of multivariate normal and \(t\) probabilities
• Tail dependence functions and vine copulas
• Diversification of aggregate dependent risks
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Coherent Measures of Risk
• Conditional tail expectations for multivariate phase-type distributions
• Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
• Heavy-Tail Phenomena

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