Asymptotics of Sum of Heavy-tailed Risks with Copulas

2024/11/14 by Yang, Fan, Zhang, Yi
#FOS: Economics and business #Risk Management (q-fin.RM)

paper · doi:10.48550/arxiv.2411.09657

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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