Asymptotics of Sum of Heavy-tailed Risks with Copulas

Fan Yang () and Yi Zhang
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Fan Yang: University of Waterloo
Yi Zhang: Zhejiang University

Methodology and Computing in Applied Probability, 2023, vol. 25, issue 4, 1-23

Abstract: 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.

Keywords: Tail asymptotics; Heavy tail; Copula; Aggregate risk; 91G70; 60G70 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11009-023-10066-7

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