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.
| Original language | English |
|---|---|
| Pages (from-to) | 2049-2058 |
| Number of pages | 10 |
| Journal | Communications in Statistics: Simulation and Computation |
| Volume | 49 |
| Issue number | 8 |
| DOIs | |
| State | Published - 2 Aug 2020 |
Keywords
- Asymptotics
- Bivariate Eyraud-Farlie-Gumbel-Morgenstern copula
- Portfolio loss
- Power-law
- Tail conditional expectation
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