Systemic risk (SR) is considered as the risk of collapse of an entire system, which has played a significant role in explaining the recent financial turmoils from the insurance and financial industries. We consider the asymptotic behavior of the SR for portfolio losses in the model allowing for heavy-tailed primary losses, which are equipped with a wide type of dependence structure. This risk model provides an ideal framework for addressing both heavy-tailedness and dependence. As some extensions, several simulation experiments are conducted, where an insurance application of the asymptotic characterization to the determination and approximation of related SR capital has been proposed, based on the SR measure.

中文翻译：

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具有相关重尾损失的系统性风险的渐近性

系统性风险（SR）被认为是整个系统崩溃的风险，它在解释最近保险和金融行业的金融风暴方面发挥了重要作用。我们考虑模型中投资组合损失的 SR 的渐近行为，允许重尾初级损失，这些损失配备了广泛类型的依赖结构。该风险模型为解决重尾问题和依赖问题提供了一个理想的框架。作为一些扩展，进行了几个模拟实验，其中提出了基于 SR 度量的渐近表征在相关 SR 资本的确定和近似中的保险应用。