Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities
Year of publication: |
2004
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Authors: | Geluk, J.L. ; de Vries, C.G. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Rückversicherung | Risikomodell | Versicherungsmathematik | Subexponentiality | regular variation | systemic risk | asymptotic dependence |
Series: | Tinbergen Institute Discussion Paper ; 04-102/2 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 835400670 [GVK] hdl:10419/86348 [Handle] RePEc:dgr:uvatin:20040102 [RePEc] |
Source: |
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Geluk, J. L., (2004)
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Geluk, J.L., (2004)
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