Second order regular variation and conditional tail expectation of multiple risks
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Publication:654832
DOI10.1016/J.INSMATHECO.2011.08.013zbMATH Open1228.91039OpenAlexW1978938524MaRDI QIDQ654832FDOQ654832
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.013
Recommendations
- Risk concentration under second order regular variation
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value at riskasymptotic analysisconditional tail expectationsecond order approximationsub-extremal multiple risk
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Assessing component reliability using lifetime data from systems
- THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS
- Estimation of the adjusted standard-deviatile for extreme risks
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