Exact tail asymptotics of aggregated parametrised risk
Détails
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Etat: Public
Version: de l'auteur⸱e
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_EFFEAB695D27
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Exact tail asymptotics of aggregated parametrised risk
Périodique
Journal of Mathematical Analysis and Applications
ISSN
0022-247X (Print)
Statut éditorial
Publié
Date de publication
2013
Peer-reviewed
Oui
Volume
400
Numéro
1
Pages
187-199
Langue
anglais
Résumé
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.
Mots-clé
Risk aggregation, Log-elliptical distribution, Log-normal distribution, Rare-event simulation, Logarithmic efficiency
Web of science
Open Access
Oui
Création de la notice
26/11/2012 17:58
Dernière modification de la notice
20/08/2019 16:17