Approximation of some multivariate risk measures for Gaussian risks
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Publication:1755129
DOI10.1016/j.jmva.2018.10.006zbMath1404.60050arXiv1803.06922OpenAlexW2963872526MaRDI QIDQ1755129
Publication date: 4 January 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.06922
conditional limit theoremGaussian random vectorsmarginal expected shortfallmarginal mean excessmultivariate conditional tail expectation
Related Items (8)
Pandemic-type failures in multivariate Brownian risk models ⋮ Stochastic orders and multivariate measures of risk contagion ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Simultaneous ruin probability for multivariate Gaussian risk model ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ Conditional excess risk measures and multivariate regular variation ⋮ Finite-time ruin probability for correlated Brownian motions
Cites Work
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- Asymptotics and bounds for multivariate Gaussian tails
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- Mill's ratio for multivariate normal distributions
- On asymptotics of multivariate integrals with applications to records
- Tail asymptotics of light-tailed Weibull-like sums
- An asymptotic expansion for the multivariate normal distribution and Mills' ratio
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