Risk concentration based on Expectiles for extreme risks under FGM copula

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• 作者：Tiantian Mao^a ; ^b ; ^{tmao@ustc.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Fan Yang^b ; ^{fan.yang@uwaterloo.ca" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Expectiles ; FGM copula ; Regular variation ; Second-order regular variation ; Value-at-Risk
• 刊名：Insurance: Mathematics and Economics
• 出版年：2015
• 出版时间：September 2015
• 年：2015
• 卷：64
• 期：Complete
• 页码：429-439
• 全文大小：567 K

文摘

Risk concentration is used as a measurement of diversification benefits in the context of risk aggregation. Expectiles, which are known to possess many good properties, have attracted increasing interest in recent years. In this paper, we aim to study the asymptotic properties of risk concentration based on Expectiles. Firstly, we extend the results on the second-order asymptotics of Expectiles in Mao et al. (2015). Secondly, we investigate the second-order asymptotics of tail probabilities and then apply them to risk concentrations based on Expectiles as well as on VaR.