Asymptotics of Sum of Heavy-tailed Risks with Copulas

Published 14 Nov 2024 in q-fin.RM | (2411.09657v1)

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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