Regular variation of a random length sequence of random variables and application to risk assessment

Charles Tillier; Olivier Wintenberger

doi:10.1007/s10687-017-0297-1

Regular variation of a random length sequence of random variables and application to risk assessment

Charles Tillier, Olivier Wintenberger

Institut for Matematiske Fag

4 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Extremes
Vol/bind	21
Udgave nummer	1
Sider (fra-til)	27-56
ISSN	1386-1999
DOI	https://doi.org/10.1007/s10687-017-0297-1
Status	Udgivet - 1 mar. 2018

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10.1007/s10687-017-0297-1

https://arxiv.org/pdf/1606.08321;%20https://hal.archives-ouvertes.fr/hal-01338023/file/Riskmeasures020616FV.pdfLicens: Andet

Citationsformater

Tillier, C., & Wintenberger, O. (2018). Regular variation of a random length sequence of random variables and application to risk assessment. Extremes, 21(1), 27-56. https://doi.org/10.1007/s10687-017-0297-1

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title = "Regular variation of a random length sequence of random variables and application to risk assessment",

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author = "Charles Tillier and Olivier Wintenberger",

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AU - Tillier, Charles

AU - Wintenberger, Olivier

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KW - Ruin theory

KW - Multivariate regular variation

KW - Risk indicators

KW - Breiman Lemma

KW - Asymptotic properties

KW - Extremes

KW - Shot noise processes

KW - Dietary risk

KW - Rare events

U2 - 10.1007/s10687-017-0297-1

DO - 10.1007/s10687-017-0297-1

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Regular variation of a random length sequence of random variables and application to risk assessment

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