Aggregation of log-linear risks
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Standard
Aggregation of log-linear risks. / Embrechts, Paul; Hashorva, Enkeleijd; Mikosch, Thomas Valentin.
I: Journal of Applied Probability, Bind 51A, 2014, s. 203-212.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - Aggregation of log-linear risks
AU - Embrechts, Paul
AU - Hashorva, Enkeleijd
AU - Mikosch, Thomas Valentin
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
U2 - 10.1239/jap/1417528476
DO - 10.1239/jap/1417528476
M3 - Journal article
VL - 51A
SP - 203
EP - 212
JO - Journal of Applied Probability
JF - Journal of Applied Probability
SN - 0021-9002
ER -
ID: 130020893