Regular variation of a random length sequence of random variables and application to risk assessment

DOI10.1007/S10687-017-0297-1zbMath1391.60120arXiv1606.08321OpenAlexW2963735079MaRDI QIDQ1744175

Charles Tillier, Olivier Wintenberger

Publication date: 16 April 2018

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.08321

zbMATH Keywords

asymptotic propertiesrare eventsruin theoryextremesmultivariate regular variationshot noise processesBreiman lemmadietary riskrisk indicators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (5)

On extremes of random clusters and marked renewal cluster processes ⋮ Maxima and sums of non-stationary random length sequences ⋮ On extremal index of max-stable random fields ⋮ Tail probabilities of random linear functions of regularly varying random vectors ⋮ Hidden regular variation for point processes and the single/multiple large point heuristic

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