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Exact tail asymptotics of aggregated parametrised risk
- Source :
-
Journal of Mathematical Analysis & Applications . 4/1/2013, Vol. 400 Issue 1, p187-199. 13p. - Publication Year :
- 2013
-
Abstract
- 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 0022247X
- Volume :
- 400
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Journal of Mathematical Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 84584211
- Full Text :
- https://doi.org/10.1016/j.jmaa.2012.11.047