Second-order tail asymptotics of deflated risks
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DOI: 10.1016/j.insmatheco.2014.04.003
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References listed on IDEAS
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Cited by:
- Ling, Chengxiu & Peng, Zuoxiang, 2016. "Tail asymptotics of generalized deflated risks with insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 220-231.
- Prieto, Marc & Caemmerer, Barbara & Baltas, George, 2015. "Using a hedonic price model to test prospect theory assertions: The asymmetrical and nonlinear effect of reliability on used car prices," Journal of Retailing and Consumer Services, Elsevier, vol. 22(C), pages 206-212.
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More about this item
Keywords
Random deflation; Value-at-Risk; Risk aggregation; Second-order regular variation; Estimation of tail probability;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
Statistics
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