Aggregation of log-linear risks
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Publication:5245625
DOI10.1239/jap/1417528476zbMath1334.60029WikidataQ102128151 ScholiaQ102128151MaRDI QIDQ5245625
Paul Embrechts, Thomas Mikosch, Enkelejd Hashorva
Publication date: 14 April 2015
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1417528476
tail asymptotics; subexponential distribution; log-linear model; risk aggregation; Gumbel max-domain of attraction
60G15: Gaussian processes
60G70: Extreme value theory; extremal stochastic processes
60F10: Large deviations
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ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS, Asymptotics for a discrete-time risk model with Gamma-like insurance risks, Tail asymptotics of light-tailed Weibull-like sums, Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks, Parisian ruin over a finite-time horizon, Extremes of aggregated Dirichlet risks, Joint exceedances of random products, Extremes of randomly scaled Gumbel risks
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