Exact tail asymptotics of aggregated parametrised risk
Details
State: Public
Version: author
Serval ID
serval:BIB_EFFEAB695D27
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Exact tail asymptotics of aggregated parametrised risk
Journal
Journal of Mathematical Analysis and Applications
ISSN
0022-247X (Print)
Publication state
Published
Issued date
2013
Peer-reviewed
Oui
Volume
400
Number
1
Pages
187-199
Language
english
Abstract
In this paper we investigate the extremal behaviour of aggregated risk for a specific parametrised multivariate dependence framework. Furthermore we discuss conditional limit results and extremal behaviour of both maximum and aggregated log-elliptical risk. Our application establishes the logarithmic efficiency of the Rojas-Nandaypa algorithm for rare-event simulation of log-elliptical risks.
Keywords
Risk aggregation, Log-elliptical distribution, Log-normal distribution, Rare-event simulation, Logarithmic efficiency
Web of science
Open Access
Yes
Create date
26/11/2012 17:58
Last modification date
20/08/2019 16:17
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