Approximation of some multivariate risk measures for Gaussian risks

DOI10.1016/j.jmva.2018.10.006zbMath1404.60050arXiv1803.06922OpenAlexW2963872526MaRDI QIDQ1755129

Enkelejd Hashorva

Publication date: 4 January 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.06922

zbMATH Keywords

conditional limit theoremGaussian random vectorsmarginal expected shortfallmarginal mean excessmultivariate conditional tail expectation

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (8)

Pandemic-type failures in multivariate Brownian risk models ⋮ Stochastic orders and multivariate measures of risk contagion ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Simultaneous ruin probability for multivariate Gaussian risk model ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ Conditional excess risk measures and multivariate regular variation ⋮ Finite-time ruin probability for correlated Brownian motions

Cites Work

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• Risk contagion under regular variation and asymptotic tail independence
• Asymptotics and bounds for multivariate Gaussian tails
• Multivariate tail conditional expectation for elliptical distributions
• Mill's ratio for multivariate normal distributions
• On asymptotics of multivariate integrals with applications to records
• Tail asymptotics of light-tailed Weibull-like sums
• An asymptotic expansion for the multivariate normal distribution and Mills' ratio

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