Aggregation of log-linear risks

DOI10.1239/JAP/1417528476MaRDI QIDQ5245625zbMATH OpenOpenAlexWikidataFDO

Authors Paul Embrechts, T. 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

Gumbel max-domain of attractionlog-linear modelrisk aggregationsubexponential distributiontail asymptotics

Mathematics Subject Classification ID

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

Recommendations

• Aggregation of randomly weighted large risks
• Aggregation of rapidly varying risks and asymptotic independence
• Exact tail asymptotics of aggregated parametrised risk
• Aggregation of Dependent Risks with Heavy-Tail Distributions
• Extreme value behavior of aggregate dependent risks

Cites work

• A ratio limit theorem for the tails of weighted sums
• Aggregation of rapidly varying risks and asymptotic independence
• An Introduction to Credit Risk Modeling
• An introduction to heavy-tailed and subexponential distributions
• Asymptotics of sums of lognormal random variables with Gaussian copula
• Convolutions of Long-Tailed and Subexponential Distributions
• Efficient simulation of tail probabilities for sums of log-elliptical risks
• Efficient simulation of tail probabilities of sums of correlated lognormals
• Exact tail asymptotics of aggregated parametrised risk
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Normal Variance-Mean Mixtures and z Distributions
• On sums of conditionally independent subexponential random variables
• Sharp bounds for sums of dependent risks
• Tail approximation for reinsurance portfolios of Gaussian-like risks
• Tail behavior of sums and differences of log-normal random variables
• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables

Cited in

(13)

• Joint exceedances of random products
• Extremes of randomly scaled Gumbel risks
• Risk aggregation in Solvency II through recursive log-normals
• Second order asymptotics of aggregated log-elliptical risk
• On the tail probabilities of aggregated lognormal random fields with small noise
• Parisian ruin over a finite-time horizon
• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• Asymptotics for a discrete-time risk model with gamma-like insurance risks
• Tail asymptotics of light-tailed Weibull-like sums
• Extremes of aggregated Dirichlet risks
• Aggregation of randomly weighted large risks
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Ruin probabilities of a discrete-time risk model with a dependence structure among insurance and financial risks

This page was built for publication: Aggregation of log-linear risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5245625)