Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks

DOI10.1007/S10687-011-0142-XMaRDI QIDQ907282zbMATH OpenOpenAlexFDO

Authors Dominik Kortschak

Publication date 25 January 2016

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://serval.unil.ch/resource/serval:BIB_AA1BB1893013.P001/REF.pdf

zbMATH Keywords

dependent random variablescopulastail independenceregularly varying marginalssecond order asymptotic

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• Aggregation of rapidly varying risks and asymptotic independence
• An introduction to copulas.
• Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
• Dependence measures for extreme value analyses
• Estimating the limit distribution of multivariate extremes
• Hidden regular variation, second order regular variation and asymptotic independence
• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
• Improved algorithms for rare event simulation with heavy tails
• Limit theory for bilinear processes with heavy-tailed noise
• Sea and wind: multivariate extremes at work
• Second order behaviour of the tail of a subordinated probability distribution
• Second order tail behaviour of a subordinated probability distribution
• Second-order regular variation, convolution and the central limit theorem
• Statistics for near independence in multivariate extreme values
• Tail asymptotics for the sum of two heavy-tailed dependent risks

Cited in

(17)

• On the Tail Behavior of Sums of Dependent Risks
• Tail asymptotics of random sum and maximum of log-normal risks
• Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
• Second order asymptotics of aggregated log-elliptical risk
• Second order corrections for the limits of normalized ruin times in the presence of heavy tails
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Risk concentration under second order regular variation
• ECOMOR and LCR reinsurance with gamma-like claims
• Tail asymptotic expansions for \(L\)-statistics
• Asymptotics of sum of heavy-tailed risks with copulas
• Second order risk aggregation with the Bernstein copula
• Max-sum equivalence of conditionally dependent random variables
• Second-order properties of risk concentrations without the condition of asymptotic smoothness
• Extremes and products of multivariate AC-product risks
• Tail behavior of weighted sums of order statistics of dependent risks
• Second-order asymptotics of the risk concentration of a portfolio with deflated risks

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