Asymptotics of Sum of Heavy-tailed Risks with Copulas
Risk Management
2024-11-15 v1
Abstract
We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each example we apply the main results to obtain the asymptotic expansions for Value-at-Risk of aggregate risk.
Cite
@article{arxiv.2411.09657,
title = {Asymptotics of Sum of Heavy-tailed Risks with Copulas},
author = {Fan Yang and Yi Zhang},
journal= {arXiv preprint arXiv:2411.09657},
year = {2024}
}