Tail probabilities of random linear functions of regularly varying random vectors

Author:

Das BikramjitORCID,Fasen-Hartmann VickyORCID,Klüppelberg ClaudiaORCID

Funder

Ministry of Education - Singapore

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability

Reference34 articles.

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3. Behme, A., Strietzel, P.: A 2$$\times$$2 random switching model and its dual risk model. arXiv:2007.03369v3 (2020)

4. Bingham, N.H., Goldie, C.M., Teugels, J.L.: Regular Variation. Encyclopedia of Mathematics and its Applications 27.Cambridge University Press, Cambridge (1989)

5. Breiman, L.: On some limit theorems similar to the arc-sin law. Theory Probab. Appl. 10323–10331 (1965)

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