Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
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Publication:4981822
DOI10.1080/15326349.2014.900389zbMath1404.62105OpenAlexW2075458657MaRDI QIDQ4981822
Cheuk Yin Andrew Ng, Ke Ang Fu
Publication date: 25 June 2014
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2014.900389
uniformitydominatedly varying tailsinvestment returngeometric Lévy processpairwise asymptotic independenceconsistently varying tails
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Financial applications of other theories (91G80)
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