Risk Measures and Multivariate Extensions of Breiman's Theorem (Q2897148): Difference between revisions

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+Diversification of aggregate dependent risks
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+Normal rank
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+Analysis of the Expected Shortfall of Aggregate Dependent Risks
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+The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
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+On the Tail Behavior of Sums of Dependent Risks
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+Normal rank
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+Regular variation of GARCH processes.
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+Normal rank
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+Statistics of Extremes
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+Normal rank
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+Ruin probabilities with dependent rates of interest
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+Finite time ruin probability with heavy-tailed insurance and financial risks
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+The discrete-time risk model with correlated classes of business
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+Point process convergence of stochastic volatility processes with application to sample autocorrelation
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+Limit theory for multivariate sample extremes
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+Normal rank
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+Risk concentration and diversification: second-order properties
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+Estimates for the probability of ruin with special emphasis on the possibility of large claims
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+Q4343010
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+Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
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+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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+On Sums of Conditionally Independent Subexponential Random Variables
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+The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
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+Tail probabilities for infinite series of regularly varying random vectors
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+Asymptotic results for the sum of dependent non-identically distributed random variables
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+On optimal portfolio diversification with respect to extreme risks
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+Asymptotic independence and a network traffic model
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Maxima of Sums of Heavy-Tailed Random Variables
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+On the ruin probabilities in a general economic environment
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+Q3771297
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+Normal rank
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+Heavy-Tail Phenomena
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+Normal rank
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+On the distribution of the maxima of partial sums
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+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
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+Randomly weighted sums of subexponential random variables with application to ruin theory
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+Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
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+Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
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+Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
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+Approximation of the tail probability of randomly weighted sums and applications
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+The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
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