Aggregation of rapidly varying risks and asymptotic independence

DOI10.1239/aap/1253281064zbMath1181.60019arXiv0807.4200OpenAlexW2014093688MaRDI QIDQ3644305

Abhimanyu Mitra, Sidney I. Resnick

Publication date: 4 November 2009

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.4200

zbMATH Keywords

asymptotic independencerisksubexponentialGumbelmaximal domain of attraction

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Related Items (19)

Extremes for coherent risk measures ⋮ SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ Tail asymptotics for dependent subexponential differences ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks ⋮ Extremes and products of multivariate AC-product risks ⋮ Max-sum equivalence of conditionally dependent random variables ⋮ Asymptotics for risk capital allocations based on conditional tail expectation ⋮ Asymptotics of random contractions ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Second order risk aggregation with the Bernstein copula ⋮ Second order asymptotics of aggregated log-elliptical risk ⋮ Exponential Family Techniques for the Lognormal Left Tail ⋮ Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks ⋮ On the Density Functions of Integrals of Gaussian Random Fields ⋮ On the tail behaviour of aggregated random variables ⋮ Aggregation of log-linear risks

Cites Work

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• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
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• Products of distribution functions attracted to extreme value laws

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