Open AccessAsymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
Author(s) -
Yishan Gong,
Yang Yang
Publication year - 2022
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2021022
Subject(s) - bivariate analysis , aggregate (composite) , mathematics , monte carlo method , econometrics , statistics , operational risk , risk model , value at risk , value (mathematics) , risk management , economics , materials science , management , composite material
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.