Tail asymptotic of Weibull-type risks

DOI10.1080/02331888.2013.800520zbMath1305.62200arXiv1405.2455OpenAlexW3106439269MaRDI QIDQ2934849

Zhi Chao Weng, Enkelejd Hashorva

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.2455

zbMATH Keywords

elliptical distributionFGM distributionGumbel max-domain of attractionsupremum of Brownian motionWeibull-type risks

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Extremes of randomly scaled Gumbel risks ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process

Uses Software

• QRM

Cites Work

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