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Asymptotic results on marginal expected shortfalls for dependent risks

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  • Li, Jinzhu

Abstract

In this paper, we study the asymptotic behavior of three types of Marginal Expected Shortfalls with different reference indices of the overall risk. Our results for the asymptotic independence case are obtained under quite general frameworks, in which no specific distribution class of each individual risk is supposed. For the asymptotic dependence case, we conduct the study under two widely applied assumptions, which imply that the individual risks possess the Fréchet and Gumbel tails, respectively. We also give an analysis on the accuracy of our asymptotic results in various scenarios when there are two individual risks in the whole system.

Suggested Citation

  • Li, Jinzhu, 2022. "Asymptotic results on marginal expected shortfalls for dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 146-168.
    • Handle: RePEc:eee:insuma:v:102:y:2022:i:c:p:146-168
    DOI: 10.1016/j.insmatheco.2021.12.003
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    More about this item

    Keywords

    Asymptotic dependence; Asymptotic independence; Gumbel max-domain of attraction; Heavy-tailed distribution; Marginal expected shortfall;
    All these keywords.

    JEL classification:

    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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