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2014
- handle: 10670/1.ric3fq
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info:eu-repo/semantics/altIdentifier/pissn/0021-9002
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info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:serval-BIB_38E1EC0CE8055
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Mots-clés
Risk aggregation; log-linear model; subexponential distribution; Gumbel max-domain of attractionSujets proches
Work, Method of Industry (Psychology) Method of work Cauda Papers Pattern ModelCiter ce document
P. Embrechts et al., « Aggregation of log-linear risks », Serveur académique Lausannois, ID : 10670/1.ric3fq
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Résumé
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.