Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks (Q4981883): Difference between revisions

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+W2012098983
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+.1296
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@@ Property / cites work @@
+Asymptotics for risk capital allocations based on conditional tail expectation
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+Efficient simulation of tail probabilities of sums of correlated lognormals
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+Asymptotics of sums of lognormal random variables with Gaussian copula
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+Scale mixtures of Kotz-Dirichlet distributions
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+On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
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+Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
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+Discrete and continuous time modulated random walks with heavy-tailed increments
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+On Sums of Conditionally Independent Subexponential Random Variables
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+An Introduction to Heavy-Tailed and Subexponential Distributions
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+Some closure properties for subexponential distributions
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+Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
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+Exact tail asymptotics of aggregated parametrised risk
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+Extreme values in FGM random sequences
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+Efficient simulation of tail probabilities for sums of log-elliptical risks
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+A note on max-sum equivalence
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+Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
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+Aggregation of rapidly varying risks and asymptotic independence
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+Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
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+Asymptotic Analysis of Multivariate Tail Conditional Expectations
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