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Asymptotics For Systemic Risk With Dependent Heavy-Tailed Losses

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  • Liu, Jiajun
  • Yang, Yang

Abstract

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.

Suggested Citation

  • Liu, Jiajun & Yang, Yang, 2021. "Asymptotics For Systemic Risk With Dependent Heavy-Tailed Losses," ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 571-605, May.
    • Handle: RePEc:cup:astinb:v:51:y:2021:i:2:p:571-605_8
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    Cited by:

    1. Li, Jinzhu, 2022. "Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 38-56.
    2. Zhangting Chen & Dongya Cheng, 2024. "On the Tail Behavior for Randomly Weighted Sums of Dependent Random Variables with its Applications to Risk Measures," Methodology and Computing in Applied Probability, Springer, vol. 26(4), pages 1-27, December.

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