Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
نویسندگان
چکیده
منابع مشابه
Tail Dependence for Regularly Varying Time Series
We use tail dependence functions to study tail dependence for regularly varying RV time series. First, tail dependence functions about RV time series are deduced through the intensity measure. Then, the relation between the tail dependence function and the intensity measure is established: they are biuniquely determined. Finally, we obtain the expressions of the tail dependence parameters based...
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ژورنال
عنوان ژورنال: Extremes
سال: 2011
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-011-0142-x