Celebrating 50 Years of the Applied Probability Trust
نویسنده
چکیده
In this paper we work in the framework of a k-dimensional vector of log-linear risks. Under weak conditions on the marginal tails and the dependence structure of a vector of positive risks, we derive the asymptotic tail behaviour of the aggregated risk and present an application concerning log-normal risks with stochastic volatility.
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Celebrating 50 Years of the Applied Probability Trust
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