Article contents
Aggregation of log-linear risks
Published online by Cambridge University Press: 30 March 2016
Abstract
In this paper we work in the framework of a k-dimensional vector of log-linear risks. Under weak conditions on the marginal tails and the dependence structure of a vector of positive risks, we derive the asymptotic tail behaviour of the aggregated risk and present an application concerning log-normal risks with stochastic volatility.
MSC classification
- Type
- Part 5. Finance and econometrics
- Information
- Journal of Applied Probability , Volume 51 , Issue A: Celebrating 50 Years of The Applied Probability Trust , December 2014 , pp. 203 - 212
- Copyright
- Copyright © Applied Probability Trust 2014
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