Joint exceedances of random products

DOI10.1214/16-AIHP811zbMath1396.60059arXiv1505.03325OpenAlexW2963200032MaRDI QIDQ1635978

Holger Drees, Anja Janssen

Publication date: 1 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.03325

zbMATH Keywords

linear programmingregular variationextreme value theoryrandom productsM-convergence

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Spaces of measures, convergence of measures (28A33) Convergence of probability measures (60B10)

Related Items (1)

Tail asymptotics of generalized deflated risks with insurance applications

Cites Work

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• A stochastic volatility model with flexible extremal dependence structure
• Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
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• Asymptotic independence and a network traffic model
• Aggregation of log-linear risks
• Heavy-Tail Phenomena

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