Exact tail asymptotics of aggregated parametrised risk

DOI10.1016/J.JMAA.2012.11.047zbMath1258.91104arXiv0904.0144OpenAlexW2073503220MaRDI QIDQ1936217

Enkelejd Hashorva

Publication date: 21 February 2013

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0144

zbMATH Keywords

log-normal distributionlogarithmic efficiencyrare-event simulationrisk aggregationlog-elliptical distribution

Mathematics Subject Classification ID

Related Items (9)

Copula-based grouped risk aggregation under mixed operation. ⋮ Extremes and products of multivariate AC-product risks ⋮ On extremal behavior of aggregation of largest claims ⋮ Max-sum equivalence of conditionally dependent random variables ⋮ Tail asymptotics of random sum and maximum of log-normal risks ⋮ Extremes of aggregated Dirichlet risks ⋮ Second order asymptotics of aggregated log-elliptical risk ⋮ Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks ⋮ Aggregation of log-linear risks

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