The tail behavior of randomly weighted sums of dependent random variables
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Publication:896413
DOI10.4310/SII.2014.v7.n3.a3zbMath1326.60073MaRDI QIDQ896413
Publication date: 9 December 2015
Published in: Statistics and Its Interface (Search for Journal in Brave)
asymptoticsspectral measuremaximum domain of attractionmultivariate regular variationmultivariate extreme value distribution
Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric inference (62F99) Extreme value theory; extremal stochastic processes (60G70)
Related Items (3)
Complete moment convergence of double-indexed randomly weighted sums of mixing sequences ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
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