Extremes of randomly scaled Gumbel risks

DOI10.1016/J.JMAA.2017.08.055zbMATH Open1377.60061OpenAlexW2750758630MaRDI QIDQ1674367FDOQ1674367

Enkelejd Hashorva, Julia Farkas, Krzysztof Dȩbicki

Publication date: 2 November 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_72B8642D8972.P001/REF.pdf

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zbMATH Keywords

random scalingGumbel max-domain of attractioniteration of random processeslog-Weibullian tail behavioursupremum of Gaussian processesWeibullian tail behaviour

Mathematics Subject Classification ID

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

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Cited In (3)

• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
• Extremal dependence of random scale constructions
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