Tail asymptotic of Weibull-type risks

DOI10.1080/02331888.2013.800520zbMATH Open1305.62200arXiv1405.2455OpenAlexW3106439269MaRDI QIDQ2934849FDOQ2934849

Zhi Chao Weng, Enkelejd Hashorva

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Abstract: In this paper we derive the tail asymptotics of the product of two dependent Weibull-type risks, which is of interest in various statistical and applied probability problems. Our results extend some recent findings of Schlueter and Fischer (2012) and Bose et al. (2012).

Full work available at URL: https://arxiv.org/abs/1405.2455

zbMATH Keywords

elliptical distributionFGM distributionGumbel max-domain of attractionsupremum of Brownian motionWeibull-type risks

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

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Cited In (3)

• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
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Uses Software

• QRM

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