Tail behavior of discounted portfolio loss under upper tail comonotonicity

Consider an investment portfolio that is crucially important for economic security and hence requires a prudent examination of discounted losses. Due to domino effects during financial crises or pandemics, individual losses may highly interplay exhibit strong coherence in the extremal dependence structure. Under framework upper tail comonotonicity, we carry out some asymptotic studies aggregate when are maximum domain attractions three extreme value distributions, respectively. Our main finding is, both analytically numerically, among has significant impact on loss, if ignored, cause serious consequences risk management.