Asymptotic results on tail moment and tail central moment for dependent risks

DOI10.1017/apr.2022.74OpenAlexW4375863619MaRDI QIDQ6198065

Jinzhu Li

Publication date: 20 February 2024

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2022.74

zbMATH Keywords

regular variationasymptotic independencerisk measureGumbel max-domain of attractiontail momenttail central moment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05)

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