The Risk Measure In Financial Insurance And The Extreme Value Of Aggregated Risk

Modern banking,insurance,and securities industries can be seen as products developed by finance and insurance.The integration of finance and insurance refers to the gradual infiltration and mutual influence between various businesses in insurance(property insurance and livelihood insurance)and financial fields.This integration makes the development of finance and insurance more specialized,institutionalized and systematic.Due to the influence of venture capital and market volatility,there are unstable factors in finance and insurance,and the analysis and settlement of these unstable factors have always been the focus of theoretical research.Risk measure is a kind of probability tool used to measure the instability in financial insurance.It can be applied to reinsurance pricing and reserve calculation.The usual research is based on Value at Risk,Tail Condition Expectation and Expected Loss.This paper introduces several different risk measures,and is linked to the extreme value theory for further discussion.The risk of aggregation can be understood as the risk of studying a portfolio,or the total risk that an asset is subject to,and it is necessary to study the correlation between the risks of each asset.According to the asymptotic theory of extreme value distribution,a more concise and accurate asymptotic result about the risk of aggregation can be obtained.In this paper,we mainly review the asymptotic behavior of random contraction X(28)RS,where R and S ?(7)0,1(8)are independent andF is the distribution function of R.Suppose F is in the max-domain of attraction of an extreme value distribution,and the distribution function of S is regular variation.Based on this,we study the exact tail asymptotics of the aggregated risk of Dirichlet random vectors with the dependent structure.The results show that the asymptotics of the ruin probability for a particular discrete-time risk model is obtained.In addition,the influence of the random scaling function on the Tail Condition Expectation and the aggregated risk is obtained under the asymptotic hypothesis,and drive the joint asymptotic distribution of linear combinations of random contractions.