Aggregation of log-linear risks
نویسندگان
چکیده
منابع مشابه
Aggregation of log-linear risks
In this paper we work in the framework of a k-dimensional vector of log-linear risks. Under weak conditions on the marginal tails and the dependence structure of a vector of positive risks we derive the asymptotic tail behaviour of the aggregated risk and present an application concerning log-normal risks with stochastic volatility.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2014
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200021288