Aggregation of log-linear risks

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

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 tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Embrechts, P, Hashorva, E & Mikosch, TV 2014, 'Aggregation of log-linear risks', Journal of Applied Probability, bind 51A, s. 203-212. https://doi.org/10.1239/jap/1417528476

APA

Embrechts, P., Hashorva, E., & Mikosch, T. V. (2014). Aggregation of log-linear risks. Journal of Applied Probability, 51A, 203-212. https://doi.org/10.1239/jap/1417528476

Vancouver

Embrechts P, Hashorva E, Mikosch TV. Aggregation of log-linear risks. Journal of Applied Probability. 2014;51A:203-212. https://doi.org/10.1239/jap/1417528476

Author

Embrechts, Paul ; Hashorva, Enkeleijd ; Mikosch, Thomas Valentin. / Aggregation of log-linear risks. I: Journal of Applied Probability. 2014 ; Bind 51A. s. 203-212.

Bibtex

@article{f4b697046f5e4beba04811b6c189667b,
title = "Aggregation of log-linear risks",
abstract = "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. ",
author = "Paul Embrechts and Enkeleijd Hashorva and Mikosch, {Thomas Valentin}",
year = "2014",
doi = "10.1239/jap/1417528476",
language = "English",
volume = "51A",
pages = "203--212",
journal = "Journal of Applied Probability",
issn = "0021-9002",
publisher = "Applied Probability Trust",

}

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