Second-order tail asymptotics of deflated risks

Enkelejd Hashorva, Chengxiu Ling and Zuoxiang Peng

Insurance: Mathematics and Economics, 2014, vol. 56, issue C, 88-101

Abstract: Random deflation of risk models is an interesting topic for both theoretical and practical actuarial problems. In this paper, we investigate second-order tail asymptotics of the deflated risk X=RS under the assumptions of second-order regular variation on the survival functions of the risk R and the deflator S. Our findings are applied to derive second-order expansions of Value-at-Risk. Further we investigate the estimation of small tail probability for deflated risks and then discuss the asymptotics of the aggregated deflated risk.

Keywords: Random deflation; Value-at-Risk; Risk aggregation; Second-order regular variation; Estimation of tail probability (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:56:y:2014:i:c:p:88-101

DOI: 10.1016/j.insmatheco.2014.04.003

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