paper

Asymptotics of Sum of Heavy-tailed Risks with Copulas

arXiv:2411.09657

Abstract

We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each example we apply the main results to obtain the asymptotic expansions for Value-at-Risk of aggregate risk.