Cheung, Ka Chun, Ling, Hok Kan, Tang, Qihe, Yam, Sheung Chi Phillip, Yuen, Fei Lung (2019) On Additivity of Tail Comonotonic Risks. Scandinavian Actuarial Journal, 2019 (10). pp. 837-866. ISSN 0346-1238. (doi:10.1080/03461238.2019.1626762) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:97128)
The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication) | |
Official URL: https://doi.org/10.1080/03461238.2019.1626762 |
Abstract
As perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the course of financial turmoil or industrial accidents and outbreaks. Under this motivating paradigm, we show the universal asymptotic additivity under upper tail comonotonicity, as the probability level approaching to 1, for Value-at-Risk and Conditional Tail Expectation for a portfolio of fixed number of risks, in which each marginal risk could be any one having a finite endpoint or belonging to one of the three max domains of attraction. Our obtained results do not require the tail equivalence assumption as needed in the existing literature. This resolves a lasting problem in quantitative risk management and covers most distributions commonly encountered in practice.
Item Type: | Article |
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DOI/Identification number: | 10.1080/03461238.2019.1626762 |
Subjects: | Q Science > QA Mathematics (inc Computing science) |
Divisions: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
Depositing User: | Kevin Yuen |
Date Deposited: | 28 Sep 2022 13:23 UTC |
Last Modified: | 29 Sep 2022 11:44 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/97128 (The current URI for this page, for reference purposes) |
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