Second order asymptotics of aggregated log-elliptical risk (Q2513664)
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scientific article
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| English | Second order asymptotics of aggregated log-elliptical risk |
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Second order asymptotics of aggregated log-elliptical risk (English)
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28 January 2015
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risk aggregation
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second order asymptotics
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log-elliptical distribution
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log-normal distribution
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Gumbel max-domain of attraction
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Monte Carlo simulation
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