ASYMPTOTIC BEHAVIOR OF EXTREMAL EVENTS FOR AGGREGATE DEPENDENT RANDOM VARIABLES

DOI10.1017/S0269964813000235zbMATH Open1284.91212OpenAlexW2100786832MaRDI QIDQ5398366FDOQ5398366

Taizhong Hu, Tiantian Mao, Die Chen

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

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Title not available (Why is that?)
• Heavy-Tail Phenomena
• Comparison methods for stochastic models and risks
• Stochastic orders
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• 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 (2)

• Diversification of aggregate dependent risks
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

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