Risk Measures and Multivariate Extensions of Breiman's Theorem

DOI10.1239/jap/1339878792zbMath1246.91060MaRDI QIDQ2897148

Anne-Laure Fougères, Cécile Mercadier

Publication date: 8 July 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1339878792

zbMATH Keywords

ruin probability; discrete-time model; value at risk; multivariate regular variation; dependent risk

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

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