Large deviations built on max-stability

DOI10.3150/20-BEJ1263zbMath1468.91193arXiv1912.04666OpenAlexW3155154908MaRDI QIDQ2040048

Michael Kupper, José Miguel Zapata

Publication date: 9 July 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.04666

zbMATH Keywords

concentration functionlarge deviationslarge deviation principleLaplace principleasymptotic shortfall riskmax-stable monetary risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Large deviations (60F10)

Related Items (1)

Representation of weakly maxitive monetary risk measures and their rate functions

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