Estimating asymptotic dependence functionals in multivariate regularly varying models

DOI10.1007/s10986-012-9172-6zbMath1275.62073OpenAlexW2061772792MaRDI QIDQ1943759

Georg Mainik

Publication date: 21 March 2013

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/55254

zbMATH Keywords

tail dependencemultivariate regular variationfunctional CLTportfolio riskfunctional SLLN

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Portfolio theory (91G10)

Related Items

Risk concentration of aggregated dependent risks: the second-order properties

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