Tail asymptotic of Weibull-type risks

DOI10.1080/02331888.2013.800520MaRDI QIDQ2934849zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva, Zhi Chao Weng

Publication date 22 December 2014

Published in Statistics (Search for Journal in Brave)

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)

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).

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Cited in

(4)

• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Extremes of randomly scaled Gumbel risks
• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• Asymptotic behavior of reliability function for multidimensional aggregated Weibull type reliability indices

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