Aggregation of log-linear risks

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Serval ID
serval:BIB_38E1EC0CE805
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Aggregation of log-linear risks
Journal
Journal of Applied Probability
Author(s)
Embrechts  P., Hashorva  E., Mikosch  T.
ISSN
0021-9002
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
51A
Pages
203-212
Language
english
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.
Keywords
Risk aggregation, log-linear model, subexponential distribution, Gumbel max-domain of attraction
Create date
21/02/2014 8:34
Last modification date
20/08/2019 14:28
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