Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities

Insurance: Mathematics and Economics

Volumn 38, Issue 1, 2006, Pages 39-56

  Geluk, J L ^a   De Vries, C G ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Asymptotic dependence; Regular variation; Subexponentiality; Systemic risk

Indexed keywords

EID: 31544444956     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.06.010     Document Type: Article

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