Aggregation of log-linear risks

DOI10.1239/jap/1417528476zbMath1334.60029OpenAlexW2129257842WikidataQ102128151 ScholiaQ102128151MaRDI QIDQ5245625

Paul Embrechts, Thomas Mikosch, Enkelejd Hashorva

Publication date: 14 April 2015

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1417528476

zbMATH Keywords

tail asymptoticssubexponential distributionlog-linear modelrisk aggregationGumbel max-domain of attraction

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

Related Items

Parisian ruin over a finite-time horizon, Joint exceedances of random products, ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS, Asymptotics for a discrete-time risk model with Gamma-like insurance risks, Extremes of randomly scaled Gumbel risks, Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks, Extremes of aggregated Dirichlet risks, Tail asymptotics of light-tailed Weibull-like sums

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