Asymptotics of random contractions

DOI10.1016/j.insmatheco.2010.08.006zbMath1231.91196arXiv1008.0126OpenAlexW2134643590MaRDI QIDQ661266

Enkelejd Hashorva, Anthony G. Pakes, Qi-he Tang

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.0126

zbMATH Keywords

subexponential distributionselliptical distributionsruin probabilityspherical distributionsrandom scalingrisk aggregationconditional tail expectationMax-domain of attractionrandom contractions

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

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