On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. Issue 8 (2nd August 2020)

• Record Type: Journal Article
• Authors: Xing, Guo-dong; Li, Xiaohu; Yang, Shanchao
• Is Part Of: Communications in statistics. Volume 49:Issue 8(2020)
• Page Start: 2049
• Page End: 2058
• Publication Date: 2020-08-02
• Subjects: Asymptotics -- Bivariate Eyraud-Farlie-Gumbel-Morgenstern copula -- Portfolio loss -- Power-law -- Tail conditional expectation; 60F05 -- 91B30; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2018.1510526
• Languages: English
• ISSNs: 0361-0918

Abstract

Abstract: 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.