Second order asymptotics of aggregated log-elliptical risk (Q2513664)
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scientific article; zbMATH DE number 6391891
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Second order asymptotics of aggregated log-elliptical risk |
scientific article; zbMATH DE number 6391891 |
Statements
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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0.835883617401123
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0.8354636430740356
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0.7903682589530945
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0.7594947814941406
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0.7593008279800415
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