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Asymptotics of Sum of Heavy-tailed Risks with Copulas

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  • Fan Yang
  • Yi Zhang

Abstract

We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each example we apply the main results to obtain the asymptotic expansions for Value-at-Risk of aggregate risk.

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  • Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
    • Handle: RePEc:arx:papers:2411.09657
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    File URL: http://arxiv.org/pdf/2411.09657
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