Modeling Multiple Risks: Hidden Domain of Attraction
نویسنده
چکیده
A sub-model of multivariate regular variation called hidden regular variation facilitates more accurate estimation of joint tail probabilities in the presence of asymptotic independence. A related concept called hidden domain of attraction can sometimes offer similar estimation assistance in circumstances where hidden regular variation is absent. Examples and discussion illustrate strengths and limitations of this concept. We outline estimation techniques where applicable.
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تاریخ انتشار 2012