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

Mathematics Subject Classification ID

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

Recommendations

• Extreme value behavior of aggregate dependent risks
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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• An introduction to copulas.
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• Comparison methods for stochastic models and risks
• Diversification for general copula dependence
• Diversification of aggregate dependent risks
• Extreme value behavior of aggregate dependent risks
• Heavy-Tail Phenomena
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On the Tail Behavior of Sums of Dependent Risks
• Stochastic orders

Cited in

(13)

• On the tail behaviour of aggregated random variables
• Asymptotic bounds for the distribution of the sum of dependent random variables
• On the Tail Behavior of Sums of Dependent Risks
• Asymptotics of sum of heavy-tailed risks with copulas
• Extreme value behavior of aggregate dependent risks
• Bounds for randomly shared risk of heavy-tailed loss factors
• Asymptotic equivalence of risk measures under dependence uncertainty
• Aggregation of rapidly varying risks and asymptotic independence
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• Diversification of aggregate dependent risks
• Diversification for general copula dependence
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• On extremal behavior of aggregation of largest claims

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