Introduces and studies multivariate positively decreasing heavy-tailed distributions and their closure properties.
(1994) Subexponentiality of the product of independent random variables
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Heavy-tailed random vectros: theory and applications
Introduces and studies multivariate positively decreasing heavy-tailed distributions and their closure properties.
- Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns