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Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation

North American Actuarial Journal, 2013
Consider a portfolio of n obligors subject to possible default. We propose a new structural model for the loss given default, which takes into account the severity of default. Then we study the tail behavior of the loss given default under the assumption that the losses of the n obligors jointly follow a multivariate regular variation structure.
Qihe Tang, Zhongyi Yuan
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Toward a Copula Theory for Multivariate Regular Variation

2013
Multivariate regular variation describes the relative decay rates of joint tail probabilities of a random vector with respect to tail probabilities of a norm of this random vector, and it is often used in studying heavy-tail phenomena observed in data analysis in various fields, such as finance and insurance.
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Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation

Communications in Statistics - Theory and Methods, 2019
Under the framework of multivariate regular variation, we obtain the asymptotic ratio between the tail distortion risk measure for portfolio loss and the sum of value-at-risk for single loss by a d...
Guo-dong Xing, Xiaoli Gan
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Simulation of elliptical multivariate regular variation

Journal of the Korean Data And Information Science Society, 2022
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Simulation of stock prices based on multivariate regular variation

Journal of the Korean Data And Information Science Society, 2023
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Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation

Communications in Statistics - Theory and Methods, 2020
Guo-Dong Xing
exaly

The Steinhaus theorem and regular variation: de Bruijn and after

Indagationes Mathematicae, 2013
A J Ostaszewski, N H Bingham
exaly

Multivariate Regular Variation and the Poisson Transform

2007
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Regular variation and domains of attraction in

Statistics and Probability Letters, 1986
Mark Meerschaert
exaly