Bounds for randomly shared risk of heavy-tailed loss factors
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Publication:347153
DOI10.1007/s10687-016-0248-2zbMath1396.91304arXiv1503.03726MaRDI QIDQ347153
Claudia Klüppelberg, Oliver Kley
Publication date: 30 November 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.03726
risk measure; multivariate regular variation; bounds for aggregated risk; individual and systemic risk; Pareto tail; random risk sharing