Extremes of aggregated Dirichlet risks
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Publication:476250
DOI10.1016/j.jmva.2014.09.018zbMath1316.60079arXiv1404.3304OpenAlexW2091828807MaRDI QIDQ476250
Publication date: 28 November 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.3304
Dirichlet distributiontail asymptoticsrisk aggregationGumbel max-domain of attractionWeibull max-domain of attraction
Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)
Related Items (6)
Parisian ruin over a finite-time horizon ⋮ Asymptotic expansions for bivariate normal extremes ⋮ Extremes of randomly scaled Gumbel risks ⋮ On probability of high extremes of Gaussian fields with a smooth random trend ⋮ Asymptotic expansion of Gaussian chaos via probabilistic approach ⋮ Extremal attractors of Liouville copulas
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