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Article: On additivity of tail comonotonic risks

TitleOn additivity of tail comonotonic risks
Authors
KeywordsTail dependence
upper tail comonotonicity
value-at-risk
conditional tail expectation
max domains of attraction
Issue Date2019
PublisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp
Citation
Scandinavian Actuarial Journal, 2019, v. 2019 n. 10, p. 837-866 How to Cite?
AbstractAs perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the course of financial turmoil or industrial accidents and outbreaks. Under this motivating paradigm, we show the universal asymptotic additivity under upper tail comonotonicity, as the probability level approaching to 1, for Value-at-Risk and Conditional Tail Expectation for a portfolio of fixed number of risks, in which each marginal risk could be any one having a finite endpoint or belonging to one of the three max domains of attraction. Our obtained results do not require the tail equivalence assumption as needed in the existing literature. This resolves a lasting problem in quantitative risk management and covers most distributions commonly encountered in practice.
Persistent Identifierhttp://hdl.handle.net/10722/285065
ISSN
2019 Impact Factor: 1.705
2015 SCImago Journal Rankings: 0.956

 

DC FieldValueLanguage
dc.contributor.authorCheung, KC-
dc.contributor.authorLing, HK-
dc.contributor.authorTang, Q-
dc.contributor.authorYam, SCP-
dc.contributor.authorYuen, FL-
dc.date.accessioned2020-08-07T09:06:15Z-
dc.date.available2020-08-07T09:06:15Z-
dc.date.issued2019-
dc.identifier.citationScandinavian Actuarial Journal, 2019, v. 2019 n. 10, p. 837-866-
dc.identifier.issn0346-1238-
dc.identifier.urihttp://hdl.handle.net/10722/285065-
dc.description.abstractAs perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the course of financial turmoil or industrial accidents and outbreaks. Under this motivating paradigm, we show the universal asymptotic additivity under upper tail comonotonicity, as the probability level approaching to 1, for Value-at-Risk and Conditional Tail Expectation for a portfolio of fixed number of risks, in which each marginal risk could be any one having a finite endpoint or belonging to one of the three max domains of attraction. Our obtained results do not require the tail equivalence assumption as needed in the existing literature. This resolves a lasting problem in quantitative risk management and covers most distributions commonly encountered in practice.-
dc.languageeng-
dc.publisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp-
dc.relation.ispartofScandinavian Actuarial Journal-
dc.rightsAOM/Preprint Before Accepted: his article has been accepted for publication in [JOURNAL TITLE], published by Taylor & Francis. AOM/Preprint After Accepted: This is an [original manuscript / preprint] of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI]. Accepted Manuscript (AM) i.e. Postprint This is an Accepted Manuscript of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI].-
dc.subjectTail dependence-
dc.subjectupper tail comonotonicity-
dc.subjectvalue-at-risk-
dc.subjectconditional tail expectation-
dc.subjectmax domains of attraction-
dc.titleOn additivity of tail comonotonic risks-
dc.typeArticle-
dc.identifier.emailCheung, KC: kccg@hku.hk-
dc.identifier.authorityCheung, KC=rp00677-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/03461238.2019.1626762-
dc.identifier.scopuseid_2-s2.0-85067632352-
dc.identifier.hkuros311499-
dc.identifier.volume2019-
dc.identifier.issue10-
dc.identifier.spage837-
dc.identifier.epage866-
dc.publisher.placeSweden-

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