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Published in 2023 at "Advances in Applied Probability"
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…
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Keywords:
tail moment;
tail central;
asymptotic results;
moment ... See more keywords