arXiv subjects

Zhangting Chen

Publications and source records attributed to Zhangting Chen.

2 recordsLinked to original sources

arXiv2026

Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns

This paper investigates asymptotic estimates for the entrance probability of the discounted aggregate claim vector from a multivariate renewal risk model into some rare set. We provide asymptotic results for the entrance probability on both finite and infinite time horizons under various assumptions regarding the stochastic price process of the investment portfolio, the distribution class of claim vectors, and the dependence structure among the claim vectors. We note that the main results extend beyond the class of multivariate regular variation. Furthermore, we introduce two dependence structures to model the dependence among the claim vectors. In particular, our results are new even in the one-dimensional subcase.

math.PR↗

arXiv2025

Asymptotics of higher-order conditional tail moments for convolution-equivalently distributed losses

This paper investigates the asymptotic behavior of higher-order conditional tail moments, which quantify the contribution of individual losses in the event of systemic collapse. The study is conducted within a framework comprising two investment portfolios experiencing dependent losses that follow convolution-equivalent distributions. The main results are encapsulated in two theorems: one addressing light-tailed losses with convolution-equivalent distributions and the other focusing on heavy-tailed losses with regularly varying distributions. Both results reveal that the asymptotic behavior remains robust regardless of the strength of dependence. Additionally, numerical simulations are performed under specific scenarios to validate the theoretical results.

math.PR↗