Multivariate risk models under heavy-tailed risks

DOI10.1002/ASMB.1981MaRDI QIDQ6570582

Chengguo Weng, Wei Huang, Yi Zhang

Publication date: 10 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

copularegular variationruin probabilitytail dependence functionmultivariate risk model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Characterization of multivariate heavy-tailed distribution families via copula
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Bootstrap approximation of tail dependence function
• Approximation of the tail probability of randomly weighted sums and applications
• Tails of multivariate Archimedean copulas
• Some results on ruin probabilities in a two-dimensional risk model.
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Multivariate risk model of phase type
• Extremal behavior of Archimedean copulas
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case

Related Items (1)

Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails

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