Sharp asymptotics for large portfolio losses under extreme risks

Tang, Qihe; Tang, Zhaofeng; Yang, Yang

doi:10.1016/j.ejor.2019.01.025

Cited by 20 publications

(5 citation statements)

References 39 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In such a situation, X i is nonnegative, implying (3.5) is automatically satisfied. We refer the reader to Tang and Yuan (2013) and Tang et al (2019).…”

Section: Modeling Assumptionsmentioning

confidence: 99%

Asymptotics for Systemic Risk With Dependent Heavy-Tailed Losses

Liu¹,

Yang²

2021

ASTIN Bull.

Self Cite

View full text Add to dashboard Cite

Systemic risk (SR) is considered as the risk of collapse of an entire system, which has played a significant role in explaining the recent financial turmoils from the insurance and financial industries. We consider the asymptotic behavior of the SR for portfolio losses in the model allowing for heavy-tailed primary losses, which are equipped with a wide type of dependence structure. This risk model provides an ideal framework for addressing both heavy-tailedness and dependence. As some extensions, several simulation experiments are conducted, where an insurance application of the asymptotic characterization to the determination and approximation of related SR capital has been proposed, based on the SR measure.

show abstract

“…In such a situation, X i is nonnegative, implying (3.5) is automatically satisfied. We refer the reader to Tang and Yuan (2013) and Tang et al (2019).…”

Section: Modeling Assumptionsmentioning

confidence: 99%

Asymptotics for Systemic Risk With Dependent Heavy-Tailed Losses

Liu¹,

Yang²

2021

ASTIN Bull.

Self Cite

View full text Add to dashboard Cite

show abstract

“…showing that 1 and 2 are asymptotically dependent; see, e.g., Tang et al [21] and Tang and Yang [22]. If = 0 in (4) then 1 and concept of quasi-asymptotical independence (QAI) proposed by Chen and Yuen [23] and defined by lim…”

Section: Preliminariesmentioning

confidence: 99%

Asymptotic Behavior of Ruin Probabilities in an Insurance Risk Model with Quasi‐Asymptotically Independent or Bivariate Regularly Varying‐Tailed Main Claim and By‐Claim

Yang

Wang

et al. 2019

Complexity

Self Cite

View full text Add to dashboard Cite

show abstract

“…While the former is often a standard assumption in the study of portfolio losses, the latter is more relevant for a large portfolio in which the rarity of defaults results from the portfolio effect, namely the decrease in overall risk due to the increase in the portfolio size. See Bassamboo et al (2008) and Tang et al (2019) for related discussions and see also Appendix B for two motivating examples illustrating that individual defaults can become rare under portfolio effect.…”

Section: Introductionmentioning

confidence: 99%