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  • Search: subject:"Multivariate regularly variation"
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Subject
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Multivariate regularly variation 3 Heavy-tailed increments 2 Hitting rare set 2 Lyapunov inequality 2 Multivariate Analyse 2 Multivariate analysis 2 Theorie 2 Theory 2 Asymptotic analysis 1 Diversification 1 Diversifikation 1 Portfolio optimization 1 Portfolio selection 1 Portfolio-Management 1 Random Walk 1 Random walk 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1
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Article 3
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Article in journal 2 Aufsatz in Zeitschrift 2
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English 2 Undetermined 1
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Liu, Jingchen 2 Chen Zhou 1 Cui, Hengxin 1 Ken Seng Tan 1 Woo, Jae-Kyung 1 Woo, Jae-kyung 1 Yang, Fan 1
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Insurance / Mathematics & economics 2 Insurance: Mathematics and Economics 1
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Did you mean: subject:"Multivariate regular variation" (23 results)
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Asymptotic analysis of portfolio diversification
Cui, Hengxin; Ken Seng Tan; Yang, Fan; Chen Zhou - In: Insurance / Mathematics & economics 106 (2022), pp. 302-325
Persistent link: https://www.econbiz.de/10013380569
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Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
Liu, Jingchen; Woo, Jae-Kyung - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 1-9
In this paper we consider a multidimensional renewal risk model with regularly varying claims. This model may be used to describe the surplus of an insurance company possessing several lines of business where a large claim possibly puts multiple lines in a risky condition. Conditional on the...
Persistent link: https://www.econbiz.de/10010753196
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Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
Liu, Jingchen; Woo, Jae-kyung - In: Insurance / Mathematics & economics 55 (2014), pp. 1-9
Persistent link: https://www.econbiz.de/10010366217
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