Second Order Asymptotics of Aggregated Log-Elliptical Risk
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DOI: 10.1007/s11009-013-9356-5
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Cited by:
- Zdravko I. Botev & Robert Salomone & Daniel Mackinlay, 2019. "Fast and accurate computation of the distribution of sums of dependent log-normals," Annals of Operations Research, Springer, vol. 280(1), pages 19-46, September.
- Yang Yang & Xinzhi Wang & Shaoying Chen, 2022. "Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1221-1236, June.
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Keywords
Risk aggregation; Second order asymptotics; Log-elliptical distribution; Log-normal distribution; Gumbel max-domain of attraction;All these keywords.
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