Estimates for systemic risk measures in the presence of heavy tails

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<title>Estimates for systemic risk measures in the presence of heavy tails</title>
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<namePart>Peng, Jiangyan</namePart>
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<namePart>Xu, Chenghao</namePart>
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<abstract displayLabel="Summary">The article analyzes systemic risk measures in financial and insurance systems when claims exhibit heavy-tailed behavior. A dynamic multivariate model is introduced that combines Poisson processes for claim arrivals with financial returns modeled through geometric Brownian motion. Precise asymptotic expressions are derived for several systemic risk measures under scenarios of asymptotic dependence and asymptotic independence. The study examines the role of tail dependence and the marginal structure of risks. The theoretical results are validated through numerical studies that assess the accuracy of the estimates</abstract>
<note type="statement of responsibility">Lei Zou, Jiangyan Peng and Chenghao Xu</note>
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<topic>Riesgo sistémico</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20170004592">
<topic>Colas pesadas</topic>
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<topic>Dependencia</topic>
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<topic>Mercados financieros</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080599218">
<topic>Sistemas financieros</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592011">
<topic>Modelos actuariales</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>13/04/2026 Número 16 issue 1 - abril 2026 , 26 p.</text>
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