On the observation closest to the origin

DOI10.1016/0304-4149(81)90032-6zbMath0465.60035OpenAlexW1992305277MaRDI QIDQ1154738

Sidney I. Resnick, Laurens De Haan

Publication date: 1981

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/272196/files/erasmus123.pdf

zbMATH Keywords

Poisson processdensity estimationmultidimensional regular variation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (10)

A limit distribution of credit portfolio losses with low default probabilities ⋮ Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims ⋮ Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Regular variation of GARCH processes. ⋮ On regular variation of probability densities ⋮ Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model ⋮ Bivariate regular variation among randomly weighted sums in general insurance ⋮ Asymptotics for ultimate ruin probability in a by-claim risk model

Cites Work

• Derivatives of regularly varying functions in \(R^d\) and domains of attraction of stable distributions
• Limit theory for multivariate sample extremes
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