Extremes of randomly scaled Gumbel risks
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Publication:1674367
DOI10.1016/j.jmaa.2017.08.055zbMath1377.60061OpenAlexW2750758630MaRDI QIDQ1674367
Enkelejd Hashorva, Julia Farkas, Krzysztof Dȩbicki
Publication date: 2 November 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://serval.unil.ch/resource/serval:BIB_72B8642D8972.P001/REF.pdf
random scalingGumbel max-domain of attractioniteration of random processeslog-Weibullian tail behavioursupremum of Gaussian processesWeibullian tail behaviour
Related Items (3)
Unnamed Item ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Extremal dependence of random scale constructions
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