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  • Search: subject:"Estimation of tail probability"
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Subject
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Estimation of tail probability 2 Random deflation 2 Risk aggregation 2 Second-order regular variation 2 Value-at-Risk 2 Deflation 1 Estimation theory 1 Probability theory 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Wahrscheinlichkeitsrechnung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Hashorva, Enkelejd 2 Ling, Chengxiu 2 Peng, Zuoxiang 2
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Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Second-order tail asymptotics of deflated risks
Hashorva, Enkelejd; Ling, Chengxiu; Peng, Zuoxiang - In: Insurance: Mathematics and Economics 56 (2014) C, pp. 88-101
Random deflation of risk models is an interesting topic for both theoretical and practical actuarial problems. In this paper, we investigate second-order tail asymptotics of the deflated risk X=RS under the assumptions of second-order regular variation on the survival functions of the risk R and...
Persistent link: https://www.econbiz.de/10010776722
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Cover Image
Second-order tail asymptotics of deflated risks
Hashorva, Enkelejd; Ling, Chengxiu; Peng, Zuoxiang - In: Insurance / Mathematics & economics 56 (2014), pp. 88-101
Persistent link: https://www.econbiz.de/10010385024
Saved in:
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