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
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
Journal title :
Journal of Mathematical Analysis and Applications