Aggregation of log-linear risks
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- Aggregation of log-linear risks
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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.
Original language | English |
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Journal | Journal of Applied Probability |
Volume | 51A |
Pages (from-to) | 203-212 |
ISSN | 0021-9002 |
DOIs | |
Publication status | Published - 2014 |
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