Risk Measures and Multivariate Extensions of Breiman's Theorem

DOI10.1239/jap/1339878792zbMath1246.91060OpenAlexW1971286092MaRDI QIDQ2897148

Anne-Laure Fougères, Cécile Mercadier

Publication date: 8 July 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1339878792

zbMATH Keywords

ruin probabilitydiscrete-time modelvalue at riskmultivariate regular variationdependent risk

Mathematics Subject Classification ID

Related Items (23)

Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Ruin probabilities under Sarmanov dependence structure ⋮ An asymptotic study of systemic expected shortfall and marginal expected shortfall ⋮ Asymptotic dependence of in- and out-degrees in a preferential attachment model with reciprocity ⋮ Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks ⋮ Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims ⋮ On the joint tail behavior of randomly weighted sums of heavy-tailed random variables ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ High level quantile approximations of sums of risks ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time ⋮ Randomly weighted sums of subexponential random variables with application to capital allocation ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Bivariate regular variation among randomly weighted sums in general insurance ⋮ On the tail behaviour of aggregated random variables ⋮ Tail probabilities of random linear functions of regularly varying random vectors

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