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On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails

机译:关于双抗体 - 法尔利 - 甘蓝 - 莫尔根斯科姆斯科姆斯和重尾尾部条件预期尾部条件预期的渐近学

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摘要

In the setting of bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails characterized by the power law of tail decay, we present the asymptotics of tail conditional expectation for portfolio loss as the confidence level tends to one. In order to illustrate the obtained result, a numerical example and its relevant simulation are carried out.
机译:在尾巴腐烂的动力法的特征的二抗体眼影 - 法拉 - 甘蓝和重型尾巴中,我们展示了尾部条件期望对投资组合损失的渐近性,因为置信水平趋于一个。为了说明所获得的结果,执行数值示例及其相关模拟。

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