TY - JOUR
T1 - ASYMPTOTICS FOR VAR AND CTE OF TOTAL AGGREGATE LOSSES IN A BIVARIATE OPERATIONAL RISK CELL MODEL
AU - Gong, Yishan
AU - Yang, Yang
N1 - Funding Information:
Acknowledgments. We are very grateful to the referee for his/her constructive suggestions. This paper was supported by the Humanities and Social Sciences Foundation of the Ministry of Education of China (No. 20YJA910006), Natural Science Foundation of Jiangsu Province of China (No. BK20201396), Natural Science Foundation of the Jiangsu Higher Education Institutions (No. 19KJA180003), Postgraduate Education Reform Project of Jiangsu Province (No. JGLX19 091), the Project of Construction for Superior Subjects of Mathematics/Statistics of Jiangsu Higher Education Institutions.
Funding Information:
We are very grateful to the referee for his/her constructive suggestions. This paper was supported by the Humanities and Social Sciences Foun-dation of the Ministry of Education of China (No. 20YJA910006), Natural Science Foundation of Jiangsu Province of China (No. BK20201396), Natural Science Foun-dation of the Jiangsu Higher Education Institutions (No. 19KJA180003), Postgraduate Education Reform Project of Jiangsu Province (No. JGLX19 091), the Project of Construction for Superior Subjects of Mathematics/Statistics of Jiangsu Higher Education Institutions
Publisher Copyright:
© 2022,Journal of Industrial and Management Optimization.All Rights Reserved
PY - 2022/3
Y1 - 2022/3
N2 - This paper considers a bivariate operational risk cell model, in which the loss severities are modelled by some heavy-tailed and weakly (or strongly) dependent nonnegative random variables, and the frequency processes are described by two arbitrarily dependent general counting processes. In such a model, we establish some asymptotic formulas for the Value-at-Risk and Conditional Tail Expectation of the total aggregate loss. Some simulation studies are also conducted to check the accuracy of the obtained theoretical results via the Monte Carlo method
AB - This paper considers a bivariate operational risk cell model, in which the loss severities are modelled by some heavy-tailed and weakly (or strongly) dependent nonnegative random variables, and the frequency processes are described by two arbitrarily dependent general counting processes. In such a model, we establish some asymptotic formulas for the Value-at-Risk and Conditional Tail Expectation of the total aggregate loss. Some simulation studies are also conducted to check the accuracy of the obtained theoretical results via the Monte Carlo method
KW - Asymptotic estimates
KW - Bivariate operational risk cell model
KW - Conditional tail expectation
KW - Total aggregate loss
KW - Value-at-risk
UR - http://www.scopus.com/inward/record.url?scp=85124164481&partnerID=8YFLogxK
U2 - 10.3934/jimo.2021022
DO - 10.3934/jimo.2021022
M3 - Article
AN - SCOPUS:85124164481
SN - 1547-5816
VL - 18
SP - 1321
EP - 1337
JO - Journal of Industrial and Management Optimization
JF - Journal of Industrial and Management Optimization
IS - 2
ER -