具有Sarmanov依赖结构的轻尾风险的尾矩渐近行为

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2025-06-13 DOI:10.1016/j.spl.2025.110480

Yan Zhang, Kaiyong Wang

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引用次数: 0

摘要

本文研究了一种称为尾矩的风险测度，并给出了尾矩的渐近性质。金融或保险系统的个体风险具有萨尔马诺夫依赖结构。当个体风险是卷积等价的或具有类γ分布时，导出TMs的渐近结果。所得结果推广了一些已有的关于轻尾风险的TMs结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The asymptotic behavior of tail moments for light-tailed risks with Sarmanov dependence structure

This paper investigates a risk measure called the tail moment

(TM)

and presents asymptotic behavior of TMs. The individual risks of a financial or insurance system have the Sarmanov dependence structure. When the individual risks are convolution equivalent or have Gamma-like distributions, the asymptotic results are derived for TMs. The obtained results extend some existing results of TMs for light-tailed risks.

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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