Asymptotics of Sum of Heavy-tailed Risks with Copulas

Fan Yang and Yi Zhang

Papers from arXiv.org

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.

Date: 2024-11
New Economics Papers: this item is included in nep-ecm and nep-rmg
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