Extremes (Boston), 2016-06, Vol.19 (2), p.171-196
2016
Details
- Autor(en) / Beteiligte
- Titel
- Multivariate subexponential distributions and their applications
- Ist Teil von
- Extremes (Boston), 2016-06, Vol.19 (2), p.171-196
- Ort / Verlag
- New York: Springer US
- Erscheinungsjahr
- 2016
- Link zum Volltext
- Quelle
- EBSCOhost Business Source Ultimate
- Beschreibungen/Notizen
- We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the context of an insurance portfolio, when multivariate subexponentiality holds. Previously such results were available only in the case of multivariate regularly varying claims.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 1386-1999eISSN: 1572-915XDOI: 10.1007/s10687-016-0242-8Titel-ID: cdi_proquest_miscellaneous_1816078597
- Format
- –
- Schlagworte
- Asymptotic methods, Asymptotic properties, Civil Engineering, Economics, Environmental Management, Finance, Hydrogeology, Insurance, Management, Mathematics and Statistics, Operations research, Probability, Probability distribution, Quality Control, Random variables, Reliability, Safety and Risk, Statistics, Statistics for Business, Studies