Second-order properties of tail probabilities of sums and randomly weighted sums
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Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- An adaptive optimal estimate of the tail index for MA(1) time series
- Approximation of the tail probability of randomly weighted sums and applications
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
- Asymptotic expansions of convolutions of regularly varying distributions
- Characterizations and examples of hidden regular variation
- Closure properties of the second-order regular variation under convolutions
- Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
- Extreme value theory. An introduction.
- Heavy-Tail Phenomena
- Hidden regular variation and detection of hidden risks
- Hidden regular variation and the rank transform
- Hidden regular variation, second order regular variation and asymptotic independence
- Moving averages with random coefficients and random coefficient autoregressive models
- Point processes, regular variation and weak convergence
- Regular variation of GARCH processes.
- Risk concentration and diversification: second-order properties
- Second order regular variation and conditional tail expectation of multiple risks
- Second-order conditions of regular variation and Drees-type inequalities
- Second-order expansions of the risk concentration based on CTE
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Second-order regular variation and rates of convergence in extreme-value theory
- Second-order regular variation, convolution and the central limit theorem
- Tails of subordinated laws: The regularly varying case
Cited in
(16)- Closure properties of the second-order regular variation under convolutions
- Properties of second-order regular variation and expansions for risk concentration
- A Kesten-type bound for sums of randomly weighted subexponential random variables
- Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
- Second order properties of distribution tails and estimation of tail exponents in random difference equations
- Risk concentration based on expectiles for extreme risks under FGM copula
- Diversification limit of quantiles under dependence uncertainty
- Second-order asymptotics for convolution of distributions with light tails
- Complete moment convergence of double-indexed randomly weighted sums of mixing sequences
- The closure property of 2RV under random sum
- Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
- Second order moment asymptotic expansions for a randomly stopped and standardized sum
- Asymptotic analysis of portfolio diversification
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Tail calculus with remainder, applications to tail expansions for infinite order moving averages, randomly stopped sums, and related topics
- Second order tail behaviour of a subordinated probability distribution
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