In this paper we investigate the extremal behaviour of aggregated risk for a specific parametrised multivariate dependence framework. Furthermore we discuss conditional limit results and extremal behaviour of both maximum and aggregated log-elliptical risk. Our application establishes the logarithmic efficiency of the Rojas-Nandaypa algorithm for rare-event simulation of log-elliptical risks
The project focuses on the estimation of the probability distribution of a bivariate random vector g...
In this thesis we study the tail behavior of a random variable and sum of dependent random variables...
This paper presents an extension of the classical compound Poisson risk model in which the inter-cla...
In this paper we establish the error rate of first order asymptotic approximation for the tail proba...
In the framework of dependent risks it is a crucial task for risk management purposes to quantify th...
Asymptotic tail probabilities for linear combinations of randomly weighted order statistics are appr...
In this paper we work in the framework of a k-dimensional vector of log-linear risks. Under weak con...
Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are appr...
In this paper we derive the asymptotic behaviour of the survival function of both random sum and ran...
Let X-1, horizontal ellipsis , X-n be n real-valued dependent random variables. With motivation from...
We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent ra...
In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of s...
With motivation from Tang et al. (2011), in this paper we consider a tractable multivariate risk str...
The purpose of this Ph.D. thesis is twofold. Firstly, we concentrate on mathematical properties of r...
Asymptotic results are obtained for several conditional measures of association. The chosen random v...
The project focuses on the estimation of the probability distribution of a bivariate random vector g...
In this thesis we study the tail behavior of a random variable and sum of dependent random variables...
This paper presents an extension of the classical compound Poisson risk model in which the inter-cla...
In this paper we establish the error rate of first order asymptotic approximation for the tail proba...
In the framework of dependent risks it is a crucial task for risk management purposes to quantify th...
Asymptotic tail probabilities for linear combinations of randomly weighted order statistics are appr...
In this paper we work in the framework of a k-dimensional vector of log-linear risks. Under weak con...
Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are appr...
In this paper we derive the asymptotic behaviour of the survival function of both random sum and ran...
Let X-1, horizontal ellipsis , X-n be n real-valued dependent random variables. With motivation from...
We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent ra...
In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of s...
With motivation from Tang et al. (2011), in this paper we consider a tractable multivariate risk str...
The purpose of this Ph.D. thesis is twofold. Firstly, we concentrate on mathematical properties of r...
Asymptotic results are obtained for several conditional measures of association. The chosen random v...
The project focuses on the estimation of the probability distribution of a bivariate random vector g...
In this thesis we study the tail behavior of a random variable and sum of dependent random variables...
This paper presents an extension of the classical compound Poisson risk model in which the inter-cla...
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