Modeling Multiple Risks: Hidden Domain of Attraction
Probability
2011-10-05 v1 Statistics Theory
Risk Management
Statistics Theory
Abstract
Hidden regular variation is a sub-model of multivariate regular variation and facilitates accurate estimation of joint tail probabilities. We generalize the model of hidden regular variation to what we call hidden domain of attraction. We exhibit examples that illustrate the need for a more general model and discuss detection and estimation techniques.
Cite
@article{arxiv.1110.0561,
title = {Modeling Multiple Risks: Hidden Domain of Attraction},
author = {Abhimanyu Mitra and Sidney I. Resnick},
journal= {arXiv preprint arXiv:1110.0561},
year = {2011}
}
Comments
18 pages