相关论文: Aggregation of Risks and Asymptotic independence

Multivariate extreme value theory is concerned with modeling the joint tail behavior of several random variables. Existing work mostly focuses on asymptotic dependence, where the probability of observing a large value in one of the…

This paper studies the joint limiting behavior of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model, where the asymptotic regime is such that the dimension and sample size grow…

This paper is organized in three parts closely related to closure properties of heavy-tailed distributions and heavy-tailed random vectors. In the first part we consider two random variables X and Y with distributions F and G respectively.…

We take an $L_1$-dense class of functions $\Cal F$ on a measurable space $(X,\Cal X)$ and a sequence of i.i.d. $X$-valued random variables $\xi_1,\dots,\xi_n$, and give a good estimate on the tail behaviour of $\sup\limits_{f\in\Cal…

In this paper, we consider the extreme behavior of a Gaussian random field $f(t)$ living on a compact set $T$. In particular, we are interested in tail events associated with the integral $\int_Te^{f(t)}\,dt$. We construct a (non-Gaussian)…

We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…

Proliferating cell populations at steady state growth often exhibit broad protein distributions with exponential tails. The sources of this variation and its universality are of much theoretical interest. Here we address the problem by…

Let $X_{1},..,X_{n}$ denote an i.i.d. sample with light tail distribution and $S_{1}^{n}$ denote the sum of its terms; let $a_{n}$ be a real sequence\ going to infinity with $n.$\ In a previous paper (\cite{BoniaCao}) it is proved that as…

A simple estimator for the finite right endpoint of a distribution function in the Gumbel max-domain of attraction is proposed. Large sample properties such as consistency and the asymptotic distribution are derived. A simulation study is…

The exact expression for the probability density $p_{_N}(x)$ for sums of a finite number $N$ of random independent terms is obtained. It is shown that the very tail of $p_{_N}(x)$ has a Gaussian form if and only if all the random terms are…

Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…

In this paper we prove the tail variational principle for actions of countable amenable groups. This allows us to extend some characterizations of asymptotic $h$-expansiveness from $\mathbb{Z}$-actions to actions of countable amenable…

In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed risks are modeled using regular variation which leads to a…

We establish the one-to one bilateral interrelations between an asymptotic behavior for the tail of distributions for random variables and its great moments evaluation. Our results generalize the famous Richter's ones.

We consider the multivariate risk model with common renewal process among the lines of business, and Brownian perturbations. Assuming that the integrated tail distribution of claims is multivariate subexponential, we establish an asymptotic…

We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with…

An asymptotic model for extreme behavior of certain Markov chains is the "tail chain". Generally taking the form of a multiplicative random walk, it is useful in deriving extremal characteristics such as point process limits. We place this…

We consider the problem of risk diversification of $\alpha$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to…

In this paper we consider the convex hull of a spherically symmetric sample in $R^d$. Our main contributions are some new asymptotic results for the expectation of the number of vertices, number of facets, area and the volume of the convex…

In this paper we consider a multivariate risk model with common renewal process, while the logarithmic returns of the insurers investment portfolio, are described by a Levy process. In the two main results are established an asymptotic…