Asymptotic behavior of extremal events for aggregate dependent random variables
DOI10.1017/S0269964813000235zbMATH Open1284.91212OpenAlexW2100786832MaRDI QIDQ5398366FDOQ5398366
Authors: Die Chen, Tiantian Mao, Taizhong Hu 
Publication date: 27 February 2014
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964813000235
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Cites Work
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- Heavy-Tail Phenomena
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- Extreme value behavior of aggregate dependent risks
- On the Tail Behavior of Sums of Dependent Risks
- Diversification of aggregate dependent risks
- Diversification for general copula dependence
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
Cited In (13)
- On the Tail Behavior of Sums of Dependent Risks
- Asymptotic equivalence of risk measures under dependence uncertainty
- Asymptotic bounds for the distribution of the sum of dependent random variables
- Aggregation of rapidly varying risks and asymptotic independence
- Tail behavior of discounted portfolio loss under upper tail comonotonicity
- Diversification of aggregate dependent risks
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- On extremal behavior of aggregation of largest claims
- Asymptotics of sum of heavy-tailed risks with copulas
- On the tail behaviour of aggregated random variables
- Bounds for randomly shared risk of heavy-tailed loss factors
- Extreme value behavior of aggregate dependent risks
- Diversification for general copula dependence
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