Asymptotic Tail Probabilities of Sums of Dependent Subexponential Random Variables
By Jaap Geluk, Qihe Tang. 2009
136 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/bcd07110319de01e2f7f503589cc45b535289216
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Hélène Cossette
- É. Marceau
- Archil Gulisashvili
- Fouad Marri
- Peter Tankov
- Yiqing Chen
- Ekaterina Voltchkova
- Steven Kou
In Management Science and Operations Research
In Statistics and Probability
- Archil Gulisashvili
- Hélène Cossette
- Fouad Marri
- Peter Tankov
- É. Marceau
- Ekaterina Voltchkova
- Denis Belomestny
Citations in the corpus
- Analysis of ruin measures for the classical compound Poisson risk model with dependence (2010, methodology): “by Geluk & Tang ( 2008 ) and in the analysis of the behavior of discrete-time risk models with dependent financial risks by Tang & Vernic ( 2007 ).”
- Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, unknown): “…independence There has been a particular interest in understanding the tail behavior of the sum of asymptotically independent random variables with heavy tails (see Albrecher et al., 2006, Ko and Tang, 2008, Asmussen and Rojas-Nandayapa, 2008, Geluk and Tang, 2009, and Mitra and Resnick, 2009).”
- Tail behavior of sums and differences of log-normal random variables (2013, background): “Their results can also be deduced from the more recent studies of the tail behavior of sums of dependent subexponential random variables [19,21].”