Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
DOI10.1007/S10687-011-0142-XzbMATH Open1329.62081OpenAlexW2044077867MaRDI QIDQ907282FDOQ907282
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
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Cites Work
- Statistics for near independence in multivariate extreme values
- An introduction to copulas.
- Sea and wind: multivariate extremes at work
- Hidden regular variation, second order regular variation and asymptotic independence
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- Dependence measures for extreme value analyses
- Estimating the limit distribution of multivariate extremes
- Limit theory for bilinear processes with heavy-tailed noise
- Second-order regular variation, convolution and the central limit theorem
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Improved algorithms for rare event simulation with heavy tails
- Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
- Second order behaviour of the tail of a subordinated probability distribution
- Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
- Second order tail behaviour of a subordinated probability distribution
- Aggregation of rapidly varying risks and asymptotic independence
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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