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Aggregation of parametrised log-elliptical risks

Type of publication Peer-reviewed
Publikationsform Original article (peer-reviewed)
Publication date 2013
Author Hashorva Enkelejd,
Project Extremes of Gaussian Processes and Related Random Fields
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Original article (peer-reviewed)

Journal Journal of Mathematical Analysis and Applications
Volume (Issue) 400(1)
Page(s) 187 - 199
Title of proceedings Journal of Mathematical Analysis and Applications
DOI 10.1016/j.jmaa.2012.11.047

Abstract

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.
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