A0745
Title: Asymptotics of sum of heavy-tailed risks with copulas
Authors: Fan Yang - University of Waterloo (Canada) [presenting]
Abstract: The purpose is to 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, the main results are applied to obtain the asymptotic expansions for value-at-risk of aggregate risk.
