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<p>For the insurance business system with two business lines, we quantify the marginal expected shortfall (MES) in the form of general weights with instantaneity under some dependence structure. This MES describes the instant expected shortfall of one business line when the entire insurance business system is in crisis. And we assume that heavy-tailed losses and common weight factors of the two business lines at different times follow a three-dimensional Sarmanov distribution. Finally, we obtain the corresponding asymptotic results and conduct numerical simulations to validate our results.</p>

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Asymptotic Analysis for Marginal Expected Shortfall with General Random Weights and Dependence Structure

  • 期刊论文

  • 发表日期：

    2025年2月8日

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  • Yu-Bo Feng,
  • Jiang-Yan Peng,
  • Lei Zou

摘要

For the insurance business system with two business lines, we quantify the marginal expected shortfall (MES) in the form of general weights with instantaneity under some dependence structure. This MES describes the instant expected shortfall of one business line when the entire insurance business system is in crisis. And we assume that heavy-tailed losses and common weight factors of the two business lines at different times follow a three-dimensional Sarmanov distribution. Finally, we obtain the corresponding asymptotic results and conduct numerical simulations to validate our results.