The asymptotic behavior of tail moments for light-tailed risks with Sarmanov dependence structure

Yan Zhang and Kaiyong Wang

Statistics & Probability Letters, 2025, vol. 226, issue C

Abstract: This paper investigates a risk measure called the tail moment TM and presents asymptotic behavior of TMs. The individual risks of a financial or insurance system have the Sarmanov dependence structure. When the individual risks are convolution equivalent or have Gamma-like distributions, the asymptotic results are derived for TMs. The obtained results extend some existing results of TMs for light-tailed risks.

Keywords: Asymptotics; Tail moment; Convolution equivalent distribution; Gamma-like distribution; Sarmanov dependence structure (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110480

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