Aggregation of log-linear risks
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Publication:5245625
DOI10.1239/jap/1417528476zbMath1334.60029OpenAlexW2129257842WikidataQ102128151 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 asymptoticssubexponential distributionlog-linear modelrisk aggregationGumbel max-domain of attraction
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)
Related Items (8)
Parisian ruin over a finite-time horizon ⋮ Joint exceedances of random products ⋮ ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS ⋮ Asymptotics for a discrete-time risk model with Gamma-like insurance risks ⋮ Extremes of randomly scaled Gumbel risks ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Extremes of aggregated Dirichlet risks ⋮ Tail asymptotics of light-tailed Weibull-like sums
Cites Work
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