Approximation of Some Multivariate Risk Measures for Gaussian Risks

E. Hashorva

Papers from arXiv.org

Abstract: Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various multivariate risk measures significantly. In this contribution we derive precise approximations of marginal mean excess, marginal expected shortfall and multivariate conditional tail expectation of Gaussian random vectors and highlight links with conditional limit theorems. Our study indicates that similar results hold for elliptical and Gaussian like multivariate risks.

Date: 2018-03, Revised 2018-10
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1803.06922

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