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Second order asymptotics of aggregated log-elliptical risk - MaRDI portal

Second order asymptotics of aggregated log-elliptical risk (Q2513664)

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Second order asymptotics of aggregated log-elliptical risk
scientific article

    Statements

    title
    Second order asymptotics of aggregated log-elliptical risk (English)
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    author
    Enkelejd Hashorva
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    Dominik Kortschak
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    publication date
    28 January 2015
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    zbMATH Keywords
    risk aggregation
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    second order asymptotics
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    log-elliptical distribution
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    log-normal distribution
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    Gumbel max-domain of attraction
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    Monte Carlo simulation
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    Identifiers

    Mathematics Subject Classification ID
    60F99
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    60G15
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    60G70
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    65C05
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    91B30
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    zbMATH DE Number
    6391891
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    OpenAlex ID
    W3100441015
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    arXiv ID
    1405.0605
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