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  • Search: subject:"Large deviation principles"
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Central limit theorems 1 Copulas 1 Dependence structures 1 Large deviation principles 1 Law of large numbers 1 Mixing distributions 1
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Maier, Ramona 1 Wuthrich, Mario 1
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Quantitative Finance 1
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Did you mean: subject:"large deviation principle" (14 results)
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Law of large numbers and large deviations for dependent risks
Maier, Ramona; Wuthrich, Mario - In: Quantitative Finance 9 (2009) 2, pp. 207-215
We analyse the mathematical structure of models for large risk portfolios, especially for credit risk models. These risk portfolios are modelled using a multivariate mixture model for the dependence structure between the risks. The dependence structures are characterized by latent variables Θ,...
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