On the Tail Behavior of Sums of Dependent Risks

Autor:	Anne-Laure Fougères, Philippe Barbe, Christian Genest
Přispěvatelé:	Abdelmoumene, Amina
Rok vydání:	2006
Předmět:	Discrete mathematics Economics and Econometrics Pure mathematics Multivariate statistics Common distribution Accounting Finance Mathematics Copula (probability theory)
Zdroj:	ASTIN Bulletin. 36:361-373
ISSN:	1783-1350 0515-0361
DOI:	10.1017/s0515036100014550
Popis:	The tail behavior of sums of dependent risks was considered by Wüthrich (2003) and by Alink et al. (2004, 2005) in the case where the variables are exchangeable and connected through an Archimedean copula model. It is shown here how their result can be extended to a broader class of dependence structures using multivariate extreme-value theory. An explicit form is given for the asymptotic probability of extremal events, and the behavior of the latter is studied as a function of the indices of regular variation of both the copula and the common distribution of the risks.
Databáze:	OpenAIRE
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