Heavy-tailed random vectros: theory and applications
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In this paper we introduce and study several multivariate, heavy-tailed distribution classes, and we explore their closure properties and their applications. We consider the class of multivariate, positively decreasing distributions, and its intersection with other multivariate distribution classes.
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Cited by 2 Pith papers
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Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns
The paper provides asymptotic estimates for the entrance probability of the discounted aggregate claim vector into rare sets in a multivariate renewal risk model with subexponential claims and general investment returns.
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Uniform asymptotics for a multidimensional renewal risk model with random number of delayed claims and multivariate subexponentiality
Uniform asymptotics are obtained for entrance probabilities of discounted claims into rare sets in a multidimensional renewal risk model with random delayed claims under multivariate subexponentiality.
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