Aggregation of log-linear risks
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- Aggregation of log-linear risks
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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.
Originalsprog | Engelsk |
---|---|
Tidsskrift | Journal of Applied Probability |
Vol/bind | 51A |
Sider (fra-til) | 203-212 |
ISSN | 0021-9002 |
DOI | |
Status | Udgivet - 2014 |
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