Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities

DOI10.1016/j.insmatheco.2005.06.010zbMath1112.62011OpenAlexW2081562745MaRDI QIDQ2507940

J. L. Geluk, Casper G. de Vries

Publication date: 5 October 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/04102.pdf

zbMATH Keywords

regular variationsystemic risksubexponentiality

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20)

Related Items (14)

Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory ⋮ A note on max-sum equivalence ⋮ Randomly weighted sums of dependent subexponential random variables ⋮ Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation ⋮ ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION ⋮ On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails ⋮ Fat tails, VaR and subadditivity ⋮ Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions ⋮ Tail behavior of sums and maxima of sums of dependent subexponential random variables ⋮ Approximation of the tail probability of randomly weighted sums and applications ⋮ Unnamed Item ⋮ Global loss diversification in the insurance sector ⋮ Tail behavior of negatively associated heavy-tailed sums ⋮ Asymptotic tail probabilities of sums of dependent subexponential random variables

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