On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. (English) Zbl 07552783
Summary: In the setting of bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails characterized by the power law of tail decay, we present the asymptotics of tail conditional expectation for portfolio loss as the confidence level tends to one. In order to illustrate the obtained result, a numerical example and its relevant simulation are carried out.
MSC:
| 60F05 | Central limit and other weak theorems |
| 91B30 | Risk theory, insurance (MSC2010) |
Keywords:
asymptotics; bivariate Eyraud-Farlie-Gumbel-Morgenstern copula; portfolio loss; power-law; tail conditional expectationReferences:
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