Asymptotic results on tail moment and tail central moment for dependent risks
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DOI: 10.1017/apr.2022.74
Abstract: In this paper, we consider a financial or insurance system with a finite number of individual risks described by real-valued random variables. We focus on two kinds of risk measures, referred to as the tail… read more here.
Keywords: tail moment; tail central; asymptotic results; moment ... See more keywords