| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4617131 | Journal of Mathematical Analysis and Applications | 2013 | 13 Pages |
Abstract
In this paper we investigate the extremal behaviour of aggregated risk for a specific parametrised multivariate dependence framework. Furthermore we discuss conditional limit results and extremal behaviour of both maximum and aggregated log-elliptical risk. Our application establishes the logarithmic efficiency of the Rojas-Nandaypa algorithm for rare-event simulation of log-elliptical risks.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Enkelejd Hashorva,