Tail asymptotics of generalized deflated risks with insurance applications

Ling, Chengxiu; Peng, Zuoxiang

doi:10.1016/j.insmatheco.2016.09.012

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“…risks, the second-order approximations of the risk concentrations VaR ( ), CTE ( ) as ↑ 1 have been discussed by Hashorva et al [24], while Mao and Yang [25] consider the case with a portfolio of dependent risks under FGM copula. Ling and Peng [26] derived higher-order approximations under some conditions. The paper is organized as follows.…”

Section: Introductionmentioning

confidence: 99%

Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks

Chen

Gao

et al. 2018

Mathematical Problems in Engineering

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The quantification of diversification benefits due to risk aggregation has received more attention in the recent literature. In this paper, we establish second-order asymptotics of the risk concentration based on several risk measures for a portfolio of identically distributed but dependent deflated risks = , = 1, 2, . . . , under the assumptions of second-order regular variation on the survival functions of the risks and the deflator , where 1 , 2 , . . . , are independent and identically distributed random variables with a common survival function and is a random variable being independent of 1 , 2 , . . . , . Examples are also given to illustrate our main results.

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Section: Introductionmentioning

confidence: 99%