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 languageEnglish
JournalJournal of Applied Probability
Volume51A
Pages (from-to)203-212
ISSN0021-9002
DOIs
Publication statusPublished - 2014

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