相关论文: Tail approximation for reinsurance portfolios of G…

Financial networks based on Pearson correlations have been intensively studied. However, previous studies may have led to misleading and catastrophic results because of several critical shortcomings of the Pearson correlation. The local…

In risk theory, financial asset returns often follow heavy-tailed distributions. Investors and risk managers used to compare risk measures as the value at risk or tail value at risk in order over the whole confidence levels to avoid the…

This paper develops asymptotic approximations of $P(\int_Te^{f(t)}\,dt>b)$ as $b\rightarrow\infty$ for a homogeneous smooth Gaussian random field, $f$, living on a compact $d$-dimensional Jordan measurable set $T$. The integral of an…

In this paper, we study the asymptotic behaviour of the product tail probability $ \mathbb{P}(\xi_1\cdots\xi_N \geqslant n), $ where $\{\xi_1,\ldots,\xi_N\}$ is a finite collection of independent Poisson random variables with positive…

This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate distribution. In this goal, we introduce a…

In the study of extremes, the presence of asymptotic independence signifies that extreme events across multiple variables are probably less likely to occur together. Although well-understood in a bivariate context, the concept remains…

In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables follow a reproducible natural exponential family (NEF)…

Let $\{X(t),t\ge0\}$ be a centered Gaussian process and let $\gamma$ be a non-negative constant. In this paper we study the asymptotics of $P\{\underset{t\in [0,\mathcal{T}/u^\gamma]}\sup X(t)>u\}$ as $u\to\infty$, with $\mathcal{T}$ an…

We show bounds on tail probabilities for quadratic forms in sub-gaussian non-necessarily independent random variables. Our main tool will be estimates of the Luxemburg norms of such forms. This will allow us to formulate the above-mentioned…

In this paper we discuss the asymptotic behaviour of random contractions $X=RS$, where $R$, with distribution function $F$, is a positive random variable independent of $S\in (0,1)$. Random contractions appear naturally in insurance and…

We establish sharp tail asymptotics for component-wise extreme values of bivariate Gaussian random vectors with arbitrary correlation between the components. We consider two scaling regimes for the tail event in which we demonstrate the…

We consider a new approach in the definition of two-dimensional heavy-tailed distributions. Namely, we introduce the classes of two-dimensional long-tailed, of twodimensional dominatedly varying and of two-dimensional consistently varying…

We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead…

We prove an exponential probability tail inequality for positive semidefinite quadratic forms in a subgaussian random vector. The bound is analogous to one that holds when the vector has independent Gaussian entries.

Accurately quantifying tail risks-rare but high-impact events such as financial crashes or extreme weather-is a central challenge in risk management, with serially dependent data. We develop a Bayesian framework based on the Generalized…

We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with…

In this note we prove bounds on the upper and lower probability tails of sums of independent geometric or exponentially distributed random variables. We also prove negative results showing that our established tail bounds are asymptotically…

Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…

In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In…

In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal…