2 papers
q-fin.RM2024
Asymptotics of Sum of Heavy-tailed Risks with Copulas
Fan Yang, Yi Zhang
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 p…
math.ST2024
Estimation of the Adjusted Standard-deviatile for Extreme Risks
Haoyu Chen, Tiantian Mao, Fan Yang
In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted…