Tail asymptotics of random sum and maximum of log-normal risks
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Publication:2452890
DOI10.1016/j.spl.2014.01.018zbMath1295.62013arXiv1401.4614OpenAlexW2019591700MaRDI QIDQ2452890
Enkelejd Hashorva, Dominik Kortschak
Publication date: 5 June 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.4614
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Cites Work
- Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
- Efficient simulation of tail probabilities of sums of correlated lognormals
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- Asymptotics of sums of lognormal random variables with Gaussian copula
- Non-life insurance mathematics. An introduction with the Poisson process
- Exact tail asymptotics of aggregated parametrised risk
- Efficient simulation of tail probabilities for sums of log-elliptical risks
- Max-sum equivalence of conditionally dependent random variables
- Second order asymptotics of aggregated log-elliptical risk
- On Sums of Conditionally Independent Subexponential Random Variables
- Tail approximation for reinsurance portfolios of Gaussian-like risks
- An Introduction to Heavy-Tailed and Subexponential Distributions
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