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
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