Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks

DOI10.1080/15326349.2014.954133zbMath1309.62091arXiv1408.1296OpenAlexW2012098983MaRDI QIDQ4981883

Jinzhu Li, Enkelejd Hashorva

Publication date: 20 March 2015

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.1296

zbMATH Keywords

weighted sumslong-tailed distributionGumbel max-domain of attractionaggregated riskMitra-Resnick conditions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10)

Related Items (6)

Extremes for coherent risk measures ⋮ Asymptotic expansions for bivariate normal extremes ⋮ SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION ⋮ ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Measuring the tail risk: an asymptotic approach

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