Randomly weighted sums of subexponential random variables with application to capital allocation

DOI10.1007/s10687-014-0191-zzbMath1328.62089OpenAlexW2011836937MaRDI QIDQ488110

Zhongyi Yuan, Qi-he Tang

Publication date: 23 January 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0191-z

zbMATH Keywords

asymptoticscapital allocationsubexponentialityMatuszewska indicesrandomly weighted sum

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Corporate finance (dividends, real options, etc.) (91G50)

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Uses Software

• QRM

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