Tail approximation for reinsurance portfolios of Gaussian-like risks

DOI10.1080/03461238.2013.825639zbMath1398.62294arXiv1405.0595OpenAlexW2161274930MaRDI QIDQ4576800

Julia Farkas, Enkelejd Hashorva

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.0595

zbMATH Keywords

asymptotic independenceproportional reinsuranceweak tail dependence coefficientGaussian-like risks

Mathematics Subject Classification ID

Related Items (7)

Extremes of 𝛼(𝑡)-locally stationary Gaussian random fields ⋮ Extremes of randomly scaled Gumbel risks ⋮ Extremes of Gaussian random fields with regularly varying dependence structure ⋮ Tail asymptotics of random sum and maximum of log-normal risks ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Aggregation of log-linear risks ⋮ Extremes of order statistics of stationary processes

Cites Work

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• Extreme value theory for moving average processes with light-tailed innovations
• An Introduction to Heavy-Tailed and Subexponential Distributions
• Crude asymptotics of the probability of simultaneous high extrema of two Gaussian processes: the dual action functional
• Dependence measures for extreme value analyses

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