Extremes of aggregated Dirichlet risks
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DOI: 10.1016/j.jmva.2014.09.018
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Cited by:
- Nadarajah, Saralees, 2016. "Asymptotic expansions for bivariate normal extremes," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 124-133.
- Popivoda, Goran & Stamatović, Siniša, 2019. "On probability of high extremes of Gaussian fields with a smooth random trend," Statistics & Probability Letters, Elsevier, vol. 147(C), pages 29-35.
- Belzile, Léo R. & Nešlehová, Johanna G., 2017. "Extremal attractors of Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 68-92.
- E. Hashorva, 2018. "Approximation of Some Multivariate Risk Measures for Gaussian Risks," Papers 1803.06922, arXiv.org, revised Oct 2018.
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Keywords
Dirichlet distribution; Gumbel max-domain of attraction; Weibull max-domain of attraction; Tail asymptotics; Risk aggregation; Davis–Resnick tail property;All these keywords.
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