Second order asymptotics of aggregated log-elliptical risk

DOI10.1007/s11009-013-9356-5zbMath1322.60037arXiv1405.0605OpenAlexW3100441015MaRDI QIDQ2513664

Enkelejd Hashorva, Dominik Kortschak

Publication date: 28 January 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.0605

zbMATH Keywords

Monte Carlo simulationlog-normal distributionrisk aggregationGumbel max-domain of attractionsecond order asymptoticslog-elliptical distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05) Limit theorems in probability theory (60F99)

Related Items (3)

Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ Tail asymptotics of random sum and maximum of log-normal risks ⋮ Fast and accurate computation of the distribution of sums of dependent log-normals

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient simulation of tail probabilities of sums of correlated lognormals
• Exact tail asymptotics in bivariate scale mixture models
• Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
• Asymptotics of sums of lognormal random variables with Gaussian copula
• On the theory of elliptically contoured distributions
• Exact tail asymptotics of aggregated parametrised risk
• Efficient simulation of tail probabilities for sums of log-elliptical risks
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• On Sums of Conditionally Independent Subexponential Random Variables
• Aggregation of rapidly varying risks and asymptotic independence

This page was built for publication: Second order asymptotics of aggregated log-elliptical risk