Search Results - subject:"regular variation"

Asymptotics of ruin probabilities in a subordinated Cramér-Lundberg model

Klinge, Jonathan; Schmeck, Maren Diane - 2026

We study a dynamic model of a non-life insurance portfolio. The foundation of the model is a compound Poisson process that represents the claims side of the insurer. To introduce clusters of claims appearing, e.g. with catastrophic events, this process is time-changed by a Lévy subordinator....

Persistent link: https://www.econbiz.de/10015606080

Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model

Mentemeier, Sebastian; Wintenberger, Olivier - In: Journal of Time Series Analysis 43 (2022) 5, pp. 750-780

.i.d. random variables. We obtain a full characterization of the vector scaling regular variation properties of (Xt), proving that …

Persistent link: https://www.econbiz.de/10013380924

A unified theory of extreme Expected Shortfall inference

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024

Persistent link: https://www.econbiz.de/10015097279

Multi-normex distributions for the sum of random vectors : rates of convergence

Kratz, Marie; Prokopenko, Evgeny - 2021

Persistent link: https://www.econbiz.de/10013173635

Innovation, firm size distribution, and gains from trade

Chen, Yi-Fan; Hsu, Wen-Tai; Peng, Shin-Kun - In: Theoretical Economics 18 (2023) 1, pp. 341-380

Power laws in productivity and firm size are well-documented empirical regularities. As they are upper right-tail phenomena, this paper shows that assuming asymptotic power functions for various model primitives (such as demand and firm heterogeneity) are sufficient for matching these...

Persistent link: https://www.econbiz.de/10014536926

Empirical likelihood based testing for multivariate regular variation

Einmahl, John H. J.; Krajina, Andrea - 2023

Persistent link: https://www.econbiz.de/10013475286

Innovation, firm size distribution, and gains from trade

Chen, Yi-Fan; Hsu, Wen-Tai; Peng, Shin Kun - In: Theoretical economics : TE ; an open access journal in … 18 (2023) 1, pp. 341-380

Power laws in productivity and firm size are well documented empirical regularities. As they are upper right-tail phenomena, this paper shows that assuming asymptotic power functions for various model primitives (such as demand and firm heterogeneity) are sufficient for matching these...

Persistent link: https://www.econbiz.de/10014245426

Conditional excess risk measures and multivariate regular variation

Das, Bikramjit; Fasen-Hartmann, Vicky - In: Statistics & Risk Modeling 36 (2019) 1-4, pp. 1-23

regular variation. We show that regular variation on different subspaces of the Euclidean space leads to these risk measures … exhibiting distinct asymptotic behavior. Furthermore, we elicit connections between regular variation on these subspaces and the … under multivariate regular variation. We use a variety of examples to exhibit where such computations are practically …

Persistent link: https://www.econbiz.de/10014621272

Asymptotics for the conditional higher moment coherent risk measure with weak contagion

Liu, Jiajun; Yi, Qingxin - In: ASTIN bulletin : the journal of the International … 55 (2025) 1, pp. 121-143

Persistent link: https://www.econbiz.de/10015450025

Tail similarity

Asimit, Vali; Yuan, Zhongyi; Zhou, Feng - In: Insurance : mathematics and economics 121 (2025), pp. 26-44

Persistent link: https://www.econbiz.de/10015432022