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Asymptotic independence and support detection techniques for heavy-tailed multivariate data

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  • Lehtomaa, Jaakko
  • Resnick, Sidney I.

Abstract

One of the central objectives of modern risk management is to find a set of risks where the probability of multiple simultaneous catastrophic events is negligible. That is, risks are taken only when their joint behavior seems sufficiently independent. This paper aims to identify asymptotically independent risks by providing tools for describing dependence structures of multiple risks when the individual risks can obtain very large values.

Suggested Citation

  • Lehtomaa, Jaakko & Resnick, Sidney I., 2020. "Asymptotic independence and support detection techniques for heavy-tailed multivariate data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 262-277.
    • Handle: RePEc:eee:insuma:v:93:y:2020:i:c:p:262-277
    DOI: 10.1016/j.insmatheco.2020.05.002
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    References listed on IDEAS

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    Cited by:

    1. Bikramjit Das & Vicky Fasen-Hartmann, 2023. "Systemic risk in financial networks: the effects of asymptotic independence," Papers 2309.15511, arXiv.org.
    2. Miriam Hägele & Jaakko Lehtomaa, 2021. "Large Deviations for a Class of Multivariate Heavy-Tailed Risk Processes Used in Insurance and Finance," JRFM, MDPI, vol. 14(5), pages 1-18, May.

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