Asymptotic results for the sum of dependent non-identically distributed random variables

DOI10.1007/s11009-007-9053-3zbMath1171.60348OpenAlexW2009471581MaRDI QIDQ835684

Dominik Kortschak, Hansjoerg Albrecher

Publication date: 31 August 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_8F7F200325FF.P001/REF.pdf

Mathematics Subject Classification ID

Related Items (31)

Diversification limit of quantiles under dependence uncertainty ⋮ Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ Extremes for coherent risk measures ⋮ Bernoulli and tail-dependence compatibility ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ \(t\)-copula from the viewpoint of tail dependence matrices ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Tail asymptotics for dependent subexponential differences ⋮ On tail dependence matrices. The realization problem for parametric families ⋮ On the worst and least possible asymptotic dependence ⋮ High level quantile approximations of sums of risks ⋮ Tail risk of multivariate regular variation ⋮ Max-sum equivalence of conditionally dependent random variables ⋮ Asymptotics for risk capital allocations based on conditional tail expectation ⋮ Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time ⋮ Testing for a \(\delta \)-neighborhood of a generalized Pareto copula ⋮ Tail behavior of sums and differences of log-normal random variables ⋮ Second order risk aggregation with the Bernstein copula ⋮ Tail behavior of the sums of dependent and heavy-tailed random variables ⋮ Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims ⋮ Sums of Dependent Nonnegative Random Variables with Subexponential Tails ⋮ Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed ⋮ Tails of multivariate Archimedean copulas ⋮ Minimum of Dependent Random Variables with Convolution-Equivalent Distributions ⋮ Characterization of multivariate heavy-tailed distribution families via copula ⋮ On additivity of tail comonotonic risks ⋮ Efficient estimation of copula-based semiparametric Markov models ⋮ Asymptotic tail probabilities of sums of dependent subexponential random variables ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ On beta-product convolutions ⋮ On finite-time ruin probabilities with reinsurance cycles influenced by large claims

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