Aggregation of randomly weighted large risks

DOI10.1093/IMAMAN/DPV020zbMath1473.62347OpenAlexW3125152091MaRDI QIDQ5382731

Alexandru V. Asimit, Dominik Kortschak, Enkelejd Hashorva

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16264/1/aggregation%20of%20randomly.pdf

zbMATH Keywords

extreme value distributionrisk aggregationDavis-Resnick tail propertymax-domain of attractionMitra-Resnick model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Risk models (general) (91B05)

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Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Efficient expressions for moments of dependent random sums using copulas ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks

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