On additivity of tail comonotonic risks

ABSTRACT

As perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the course of financial turmoil or industrial accidents and outbreaks. Under this motivating paradigm, we show the universal asymptotic additivity under upper tail comonotonicity, as the probability level approaching to 1, for Value-at-Risk and Conditional Tail Expectation for a portfolio of fixed number of risks, in which each marginal risk could be any one having a finite endpoint or belonging to one of the three max domains of attraction. Our obtained results do not require the tail equivalence assumption as needed in the existing literature. This resolves a lasting problem in quantitative risk management and covers most distributions commonly encountered in practice.     

Books Reviewed

Books reviewed:
Levin, Simon A., Fragile Dominion: Complexity and the Commons
Dinar, Ariel, (ed.) The Political Economy of Water Pricing Reforms
Easter, William K., Mark W. Rosegrant, and Ariel Dinar, Markets for Water: Potential and Performance
Tylecote, Andrew, and Jan van der Straaten, (eds.) Environment, Technology and Economic Growth: The Challenge to Sustainable Development
Carlton, Dennis W., and Jeffrey M. Perloff, Modern Industrial Organization
Stavins, Robert N., (ed.) Economics of the Environment: Selected Readings     

Volatility activity: Specification and estimation

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Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks

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宽板塑性弯曲变薄的理论解

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A simulation study of an ASEAN monetary union

This paper analyzes some pros and cons of a monetary union for the ASEAN¹ countries, excluding Myanmar. We estimate a stylized open-economy dynamic general equilibrium model for the ASEAN countries. Using the framework of linear quadratic differential games, we contrast the potential gains or losses for these countries due to economic shocks, in case they maintain their status-quo, they coordinate their monetary and/or fiscal policies, or form a monetary union. Assuming for all players open-loop information, we conclude that there are substantial gains from cooperation of monetary authorities. We also find that whether a monetary union improves upon monetary cooperation depends on the type of shocks and the extent of fiscal policy cooperation. Results are based both on a theoretical study of the structure of the estimated model and a simulation study.     

推测变分及其在产业组织领域的应用

推测变分作为处理行为人相互作用的手段之一,与博弈论异途同归。本文详细介绍了推测变分的产生背景及其发展历程,在阐述推测变分与博弈论方法的差异基础上,介绍推测变分在理论分析以及经验检验中所发挥的作用。本文认为,在动态博弈和经验检验范围内,推测变分有着比博弈论更为广阔的空间,而且推测变分在实践中也能有明显的运用,在未来有着长足的发展空间。     

Ruin probabilities and investment under interest force in the presence of regularly varying tails

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基于DEA方法的农作物成本效率测度及区域特征分析——以大豆为例

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东北区县域耕地资源非市场价值测算及其空间分布

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