Asymptotics of sum of heavy-tailed risks with copulas

DOI10.1007/S11009-023-10066-7OpenAlexW4388639093MaRDI QIDQ6204664FDOQ6204664

Authors

Publication date 2 April 2024

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-023-10066-7

zbMATH Keywords

copulaaggregate risktail asymptoticsheavy tail

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70)

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Cites work

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