2 research outputs found
Approximation of some multivariate risk measures for Gaussian risks
Gaussian random vectors exhibit the loss of dimension phenomena, which relate
to their joint survival tail behaviour. Besides, the fact that the components
of such vectors are light-tailed complicates the approximations of various
multivariate risk measures significantly. In this contribution we derive
precise approximations of marginal mean excess, marginal expected shortfall and
multivariate conditional tail expectation of Gaussian random vectors and
highlight links with conditional limit theorems. Our study indicates that
similar results hold for elliptical and Gaussian like multivariate risks.Comment: To appear in JMV
Gaussian approximation of conditional elliptical copulas
In this paper the limits of elliptical copulas under univariate conditioning are characterized, allowing for the conditioning random variable to have a rapidly varying tail. Further, we investigate the quality of approximation by imposing some weak asymptotic restrictions