• Title of article

    Exact tail asymptotics of aggregated parametrised risk

  • Author/Authors

    Enkelejd Hashorva، نويسنده , , Enkelejd، نويسنده ,

  • Issue Information
    دوهفته نامه با شماره پیاپی سال 2013
  • Pages
    13
  • From page
    187
  • To page
    199
  • Abstract
    In this paper we investigate the extremal behaviour of aggregated risk for a specific parametrised multivariate dependence framework. Furthermore we discuss conditional limit results and extremal behaviour of both maximum and aggregated log-elliptical risk. Our application establishes the logarithmic efficiency of the Rojas-Nandaypa algorithm for rare-event simulation of log-elliptical risks.
  • Keywords
    Log-normal Distribution , Rare-event simulation , Logarithmic efficiency , Risk aggregation , Log-elliptical distribution
  • Journal title
    Journal of Mathematical Analysis and Applications
  • Serial Year
    2013
  • Journal title
    Journal of Mathematical Analysis and Applications
  • Record number

    1563361