Geluk, J.L.; Vries, C.G. de - Erasmus University Rotterdam, Econometric Institute - 2004
systemic risk.
AMS 1991 subject classification. Primary 60F05; secondary 62E20.
Key words. Subexponentiality, regular variation … subexponentiality in different
areas, the reader is referred to the book by Embrechts, Kl¨uppelberg and
Mikosch [13] or, more recently …
of regular variation of the tail function is replaced with subexponentiality
plus a one-sided growth condition. Although …