Asymptotics of Sum of Heavy-tailed Risks with Copulas
Author:
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-023-10066-7.pdf
Reference37 articles.
1. Albrecher H, Asmussen S, Kortschak D (2006) Tail asymptotics for the sum of two heavy-tailed dependent risks. Extremes 9(2):107–130
2. Alink S, Löwe M, Wüthrich MV (2004) Diversification of aggregate dependent risks. Insurance Math Econom 35(1):77–95
3. Barbe P, McCormick WP (2005) Asymptotic expansions of convolutions of regularly varying distributions. J Aust Math Soc 78(03):339–371
4. Barbe P, Fougères A, Genest C (2006) On the tail behavior of sums of dependent risks. Astin Bulletin 36:361–373
5. Bassamboo A, Juneja S, Zeevi A (2008) Portfolio credit risk with extremal dependence: Asymptotic analysis and efficient simulation. Oper Res 56(3):593–606
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