Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables-Reference-Cited by-同舟云学术

Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables

Published:2008-03-25 Issue:3 Volume:11 Page:279-306
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Kortschak Dominik,Albrecher Hansjörg

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11009-007-9053-3.pdf

Reference25 articles.

1. H. Albrecher, S. Asmussen, and D. Kortschak, “Tail asymptotics for the sum of two heavy-tailed dependent risks,” Extremes vol. 9(2) pp. 107–130, 2006.

2. S. Alink, M. Löwe, and M. V. Wüthrich, “Diversification of aggregate dependent risks,” Insurance. Mathematics & Economics vol. 35(1) pp. 77–95, 2004.

3. S. Alink, M. Löwe, and M. V. Wüthrich, “Analysis of the expected shortfall of aggregate dependent risks,” Astin Bulletin vol. 35(1) pp. 25–43, 2005a

4. S. Alink, M. Löwe, and M. V. Wüthrich, “Analysis of the diversification effect of aggregate dependent risks,” Statistica Neerlandica, 2005b (preprint).

5. S. Asmussen, and L. Rojas-Nandayapa, Sums of Dependent Lognormal Random Variables: Asymptotics and Simulation, Technical report. Thiele Center, 2006.

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