具有依赖性重尾损失的系统风险的渐近性

IF 1.7 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2021-04-29 DOI:10.1017/asb.2021.11

Jiajun Liu, Yang Yang

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引用次数: 0

摘要

系统风险(Systemic risk, SR)被认为是整个系统崩溃的风险，它在解释最近来自保险和金融业的金融动荡中发挥了重要作用。考虑了具有广泛依赖结构的重尾原始损失的模型中投资组合损失的SR的渐近行为。这种风险模型为解决重度依赖和依赖性提供了一个理想的框架。作为一些扩展，进行了几个模拟实验，其中基于SR度量，提出了将渐近表征保险地应用于相关SR资本的确定和近似。

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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ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES

Abstract Systemic risk (SR) is considered as the risk of collapse of an entire system, which has played a significant role in explaining the recent financial turmoils from the insurance and financial industries. We consider the asymptotic behavior of the SR for portfolio losses in the model allowing for heavy-tailed primary losses, which are equipped with a wide type of dependence structure. This risk model provides an ideal framework for addressing both heavy-tailedness and dependence. As some extensions, several simulation experiments are conducted, where an insurance application of the asymptotic characterization to the determination and approximation of related SR capital has been proposed, based on the SR measure.

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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.