Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks

DOI10.1007/s10687-011-0142-xzbMath1329.62081OpenAlexW2044077867MaRDI QIDQ907282

Dominik Kortschak

Publication date: 25 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_AA1BB1893013.P001/REF.pdf

zbMATH Keywords

copulasdependent random variablestail independenceregularly varying marginalssecond order asymptotic

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Sums of independent random variables; random walks (60G50)

Related Items (10)

Risk concentration under second order regular variation ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ Extremes and products of multivariate AC-product risks ⋮ Max-sum equivalence of conditionally dependent random variables ⋮ ECOMOR and LCR reinsurance with gamma-like claims ⋮ Tail asymptotics of random sum and maximum of log-normal risks ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ Second order risk aggregation with the Bernstein copula ⋮ Second order asymptotics of aggregated log-elliptical risk ⋮ Second order corrections for the limits of normalized ruin times in the presence of heavy tails

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• Aggregation of rapidly varying risks and asymptotic independence
• Statistics for near independence in multivariate extreme values
• Estimating the limit distribution of multivariate extremes
• Improved algorithms for rare event simulation with heavy tails
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