Aggregation of log-linear risks

TY - JOUR

T1 - Aggregation of log-linear risks

AU - Embrechts, Paul

AU - Hashorva, Enkeleijd

AU - Mikosch, Thomas Valentin

PY - 2014/12/1

Y1 - 2014/12/1

N2 - 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.

AB - 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.

U2 - 10.1239/jap/1417528476

DO - 10.1239/jap/1417528476

M3 - Journal article

SN - 0021-9002

VL - 51A

SP - 203

EP - 212

JO - Journal of Applied Probability

JF - Journal of Applied Probability

ER -