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North American Actuarial Journal Volume 17, 2013 - Issue 3
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Feature Articles

Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation

Qihe Tang Department of Statistics and Actuarial Science, University of Iowa, Iowa City, Iowa
&
Zhongyi Yuan Department of Risk Management, Pennsylvania State University, University Park, Pennsylvania
Pages 253-271 | Published online: 11 Sep 2013

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Read on this site (4)

Xinmei Shen, Meng Yuan & Dawei Lu. (2023) Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims. Communications in Statistics - Theory and Methods 52:19, pages 6878-6895.
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Qihe Tang & Yang Yang. (2019) Interplay of insurance and financial risks in a stochastic environment. Scandinavian Actuarial Journal 2019:5, pages 432-451.
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Jinzhu Li. (2017) A note on a by-claim risk model: Asymptotic results. Communications in Statistics - Theory and Methods 46:22, pages 11289-11295.
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Zeinab Amin. (2016) Quantification of Operational Risk: A Scenario-Based Approach. North American Actuarial Journal 20:3, pages 286-297.
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Articles from other publishers (17)

Yang Yang & Qi Su. (2023) Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims. Journal of Mathematical Analysis and Applications 525:2, pages 127319.
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Jiajun Liu & Tomer Shushi. (2023) Asymptotics of the loss-based tail risk measures in the presence of extreme risks. European Actuarial Journal.
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Shaoying Chen, Zhiwei Tong & Yang Yang. (2023) Portfolio Default Losses Driven by Idiosyncratic Risk. SSRN Electronic Journal.
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Yang Yang, Shuang Liu & Jie Liu. (2022) Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses. Journal of Industrial and Management Optimization 0:0, pages 0.
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Yishan Gong & Yang Yang. (2022) Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model. Journal of Industrial & Management Optimization 18:2, pages 1321.
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Jiajun Liu & Yang Yang. (2021) ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES. ASTIN Bulletin 51:2, pages 571-605.
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Chen Li & Xiaohu Li. (2019) Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns. Insurance: Mathematics and Economics 86, pages 84-91.
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Jing Liu. (2018) LLN-type approximations for large portfolio losses. Insurance: Mathematics and Economics 81, pages 71-77.
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Zhongyi Yuan. (2017) An asymptotic characterization of hidden tail credit risk with actuarial applications. European Actuarial Journal 7:1, pages 165-192.
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Jing Liu & Huan Zhang. (2017) Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments. Risks 5:2, pages 28.
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Xiaojun Shi, Qihe Tang & Zhongyi Yuan. (2017) A limit distribution of credit portfolio losses with low default probabilities. Insurance: Mathematics and Economics 73, pages 156-167.
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. 2017. Inference for Heavy-Tailed Data Analysis. Inference for Heavy-Tailed Data Analysis 163 167 .
. 2017. Inference for Heavy-Tailed Data Analysis. Inference for Heavy-Tailed Data Analysis 123 132 .
Jinzhu Li. (2016) Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return. Insurance: Mathematics and Economics 71, pages 195-204.
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Dimitrios G. Konstantinides & Jinzhu Li. (2016) Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims. Insurance: Mathematics and Economics 69, pages 38-44.
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Li Wei & Zhongyi Yuan. (2016) The loss given default of a low-default portfolio with weak contagion. Insurance: Mathematics and Economics 66, pages 113-123.
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Ying Sun & Li Wei. (2014) The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks. Insurance: Mathematics and Economics 59, pages 178-183.
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