Risk concentration under second order regular variation

DOI10.1007/s10687-020-00382-3zbMath1467.60037arXiv1704.02609OpenAlexW3037292170MaRDI QIDQ2198597

Bikramjit Das, Marie F. Kratz

Publication date: 10 September 2020

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.02609

zbMATH Keywords

rate of convergencevalue-at-riskasymptotic theorydiversification benefitmultivariate second order regular variationrisk concentration

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)

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Multi-normex distributions for the sum of random vectors. Rates of convergence

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