Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables
By Dominik Kortschak, Hansjörg Albrecher *. 2009
74 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/35a39b125d432b1a1cc79621dbd1fcf859133ea5
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In Finance
- Haijun Li
- Alexandru V. Asimit
- Harry Joe
- Raluca Vernic
- Qihe Tang
- Edward Furman
- Peter Tankov
- Archil Gulisashvili
In Management Science and Operations Research
- Alexandru V. Asimit
- Edward Furman
- Qihe Tang
- Raluca Vernic
- Haijun Li
- Peter Tankov
- Archil Gulisashvili
- Bangwon Ko
Citations in the corpus
- Tail Risk of Multivariate Regular Variation (2011, background): “The tail estimates of VaR of the sum are obtained in Alink et al. (2004, 2007), Albrecher et al. (2006), Kortschak and Albrecher (2009) , Embrechts et al. (2009) in a similar spirit.”
- SUMS OF DEPENDENT NONNEGATIVE RANDOM VARIABLES WITH SUBEXPONENTIAL TAILS (2008, background): “For recent references on this topic, we refer the reader to Alink et al. (2004), Barbe et al. (2006), and Kortschak and Albrecher (2008), among others.”
- Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, background): “Moreover, the proof of Theorem 3.2 of Kortschak and Albrecher (2009) justifies the fact that no mass is put by the measure µ over the line ∑d i=1 xi = 1 and any neighborhood around ∞.”
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009, unknown): “[ 1 ] and Kortschak and Albrecher [ 16 ] used copulas to model the dependence structure of the random variables.”
- Tail behavior of sums and differences of log-normal random variables (2013, background): “Numerous publications were devoted to tail estimates for sums or more general functions of dependent sub-exponential random variables (see [3,19,21,24,25, 35] and the references therein).”
- Asymptotic Tail Probabilities of Sums of Dependent Subexponential Random Variables (2009, background): “Closely related works in the recent literature are Geluk and Ng [13], Albrecher et al. [1], Tang [27], Kortschak and Albrecher [17], and Ko and Tang [16], among others.”