Quantitative Finance > Risk Management
[Submitted on 14 Nov 2024]
Title:Asymptotics of Sum of Heavy-tailed Risks with Copulas
View PDF HTML (experimental)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.
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