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The asymptotic behavior of tail moments for light-tailed risks with Sarmanov dependence structure

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  • Zhang, Yan
  • Wang, Kaiyong

Abstract

This paper investigates a risk measure called the tail moment TM and presents asymptotic behavior of TMs. The individual risks of a financial or insurance system have the Sarmanov dependence structure. When the individual risks are convolution equivalent or have Gamma-like distributions, the asymptotic results are derived for TMs. The obtained results extend some existing results of TMs for light-tailed risks.

Suggested Citation

  • Zhang, Yan & Wang, Kaiyong, 2025. "The asymptotic behavior of tail moments for light-tailed risks with Sarmanov dependence structure," Statistics & Probability Letters, Elsevier, vol. 226(C).
    • Handle: RePEc:eee:stapro:v:226:y:2025:i:c:s0167715225001257
    DOI: 10.1016/j.spl.2025.110480
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    References listed on IDEAS

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