Asymptotic results for the sum of dependent non-identically distributed random variables
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Publication:835684
DOI10.1007/S11009-007-9053-3zbMATH Open1171.60348OpenAlexW2009471581MaRDI QIDQ835684FDOQ835684
Authors: Dominik Kortschak, Hansjörg Albrecher 
Publication date: 31 August 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://serval.unil.ch/resource/serval:BIB_8F7F200325FF.P001/REF.pdf
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Cited In (43)
- Risk measures and multivariate extensions of Breiman's theorem
- \(t\)-copula from the viewpoint of tail dependence matrices
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
- On additivity of tail comonotonic risks
- Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
- Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
- Tail behavior of sums and differences of log-normal random variables
- Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
- Asymptotic representation for the distributions of sums of weakly dependent variables
- SOME RESULTS ON ASYMPTOTIC BEHAVIORS OF RANDOM SUMS OF INDEPENDENT IDENTICALLY DISTRIBUTED RANDOM VARIABLES
- Tail behavior of the sums of dependent and heavy-tailed random variables
- Tails of higher-order moments with dominatedly varying summands
- Asymptotics for risk capital allocations based on conditional tail expectation
- Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
- On the asymptotic distribution of sums of independent identically distributed random variables
- Asymptotic behavior for sums of non-identically distributed random variables
- Toward a copula theory for multivariate regular variation
- Asymptotic bounds for the distribution of the sum of dependent random variables
- Diversification limit of quantiles under dependence uncertainty
- On beta-product convolutions
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Tail asymptotics for dependent subexponential differences
- Bernoulli and tail-dependence compatibility
- Extremes for coherent risk measures
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
- Asymptotics of sums of lognormal random variables with Gaussian copula
- On tail dependence matrices. The realization problem for parametric families
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
- Sum of arbitrarily dependent random variables
- On sums of conditionally independent subexponential random variables
- Characterization of multivariate heavy-tailed distribution families via copula
- On the worst and least possible asymptotic dependence
- High level quantile approximations of sums of risks
- Tail risk of multivariate regular variation
- Second order risk aggregation with the Bernstein copula
- Max-sum equivalence of conditionally dependent random variables
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- Minimum of dependent random variables with convolution-equivalent distributions
- On finite-time ruin probabilities with reinsurance cycles influenced by large claims
- Efficient estimation of copula-based semiparametric Markov models
- Tails of multivariate Archimedean copulas
- The uniformly asymptotic estimate for the tail probability of the sums of nonnegative and dependent random variables
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