Article: article from journal or magazin.
Exact tail asymptotics of aggregated parametrised risk
Journal of Mathematical Analysis and Applications
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.
Risk aggregation, Log-elliptical distribution, Log-normal distribution, Rare-event simulation, Logarithmic efficiency
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