Jaunė, Eglė; Šiaulys, Jonas Asymptotic risk decomposition for regularly varying distributions with tail dependence. (English) Zbl 07531273 Appl. Math. Comput. 427, Article ID 127164, 13 p. (2022). MSC: 91G05 62P05 60E15 PDF BibTeX XML Cite \textit{E. Jaunė} and \textit{J. Šiaulys}, Appl. Math. Comput. 427, Article ID 127164, 13 p. (2022; Zbl 07531273) Full Text: DOI OpenURL
Li, Jinzhu Asymptotic results on marginal expected shortfalls for dependent risks. (English) Zbl 07487251 Insur. Math. Econ. 102, 146-168 (2022). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{J. Li}, Insur. Math. Econ. 102, 146--168 (2022; Zbl 07487251) Full Text: DOI OpenURL
Leipus, Remigijus; Paukštys, Saulius; Šiaulys, Jonas Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure. (English) Zbl 1460.91298 Stat. Probab. Lett. 170, Article ID 108998, 12 p. (2021). MSC: 91G70 60G70 PDF BibTeX XML Cite \textit{R. Leipus} et al., Stat. Probab. Lett. 170, Article ID 108998, 12 p. (2021; Zbl 1460.91298) Full Text: DOI OpenURL
Xing, Guodong; Yang, Shanchao First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation. (English) Zbl 1455.91241 J. Syst. Sci. Complex. 33, No. 5, 1533-1544 (2020). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{G. Xing} and \textit{S. Yang}, J. Syst. Sci. Complex. 33, No. 5, 1533--1544 (2020; Zbl 1455.91241) Full Text: DOI OpenURL
Anderson, Edward; Xu, Huifu; Zhang, Dali Varying confidence levels for CVaR risk measures and minimax limits. (English) Zbl 1436.90092 Math. Program. 180, No. 1-2 (A), 327-370 (2020). MSC: 90C15 90C17 65K05 91B05 PDF BibTeX XML Cite \textit{E. Anderson} et al., Math. Program. 180, No. 1--2 (A), 327--370 (2020; Zbl 1436.90092) Full Text: DOI Link OpenURL
Das, Bikramjit; Fasen-Hartmann, Vicky Conditional excess risk measures and multivariate regular variation. (English) Zbl 1434.60085 Stat. Risk. Model. 36, No. 1-4, 1-23 (2019). MSC: 60F10 60G50 60G70 PDF BibTeX XML Cite \textit{B. Das} and \textit{V. Fasen-Hartmann}, Stat. Risk. Model. 36, No. 1--4, 1--23 (2019; Zbl 1434.60085) Full Text: DOI OpenURL
Leipus, Remigijus; Šiaulys, Jonas; Vareikaitė, Ieva Tails of higher-order moments with dominatedly varying summands. (English) Zbl 1434.62027 Lith. Math. J. 59, No. 3, 389-407 (2019). Reviewer: Fraser Daly (Edinburgh) MSC: 62E20 60E05 60G70 62P05 PDF BibTeX XML Cite \textit{R. Leipus} et al., Lith. Math. J. 59, No. 3, 389--407 (2019; Zbl 1434.62027) Full Text: DOI OpenURL
Côté, Marie-Pier; Genest, Christian Dependence in a background risk model. (English) Zbl 1419.62295 J. Multivariate Anal. 172, 28-46 (2019). MSC: 62P05 62H05 62H20 91B30 60E05 PDF BibTeX XML Cite \textit{M.-P. Côté} and \textit{C. Genest}, J. Multivariate Anal. 172, 28--46 (2019; Zbl 1419.62295) Full Text: DOI OpenURL
Joe, Harry; Li, Haijun Tail densities of skew-elliptical distributions. (English) Zbl 1412.60075 J. Multivariate Anal. 171, 421-435 (2019). MSC: 60G70 62H20 PDF BibTeX XML Cite \textit{H. Joe} and \textit{H. Li}, J. Multivariate Anal. 171, 421--435 (2019; Zbl 1412.60075) Full Text: DOI arXiv OpenURL
Jaunė, Eglė; Ragulina, Olena; Šiaulys, Jonas Expectation of the truncated randomly weighted sums with dominatedly varying summands. (English) Zbl 1412.62029 Lith. Math. J. 58, No. 4, 421-440 (2018). MSC: 62E20 60E15 91G10 91B30 PDF BibTeX XML Cite \textit{E. Jaunė} et al., Lith. Math. J. 58, No. 4, 421--440 (2018; Zbl 1412.62029) Full Text: DOI OpenURL
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine Conditional risk measures in a bipartite market structure. (English) Zbl 1416.91194 Scand. Actuar. J. 2018, No. 4, 328-355 (2018). MSC: 91B30 91G70 62G32 90B10 05C90 PDF BibTeX XML Cite \textit{O. Kley} et al., Scand. Actuar. J. 2018, No. 4, 328--355 (2018; Zbl 1416.91194) Full Text: DOI arXiv OpenURL
Das, Bikramjit; Fasen-Hartmann, Vicky Risk contagion under regular variation and asymptotic tail independence. (English) Zbl 1397.62168 J. Multivariate Anal. 165, 194-215 (2018). MSC: 62G32 62G20 60G70 62H05 PDF BibTeX XML Cite \textit{B. Das} and \textit{V. Fasen-Hartmann}, J. Multivariate Anal. 165, 194--215 (2018; Zbl 1397.62168) Full Text: DOI arXiv OpenURL
Asimit, Alexandru V.; Li, Jinzhu Extremes for coherent risk measures. (English) Zbl 1371.91075 Insur. Math. Econ. 71, 332-341 (2016). MSC: 91B30 62P05 60G70 62G32 PDF BibTeX XML Cite \textit{A. V. Asimit} and \textit{J. Li}, Insur. Math. Econ. 71, 332--341 (2016; Zbl 1371.91075) Full Text: DOI Link OpenURL
Li, Jinzhu Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return. (English) Zbl 1371.91100 Insur. Math. Econ. 71, 195-204 (2016). MSC: 91B30 62P05 62E10 62G32 PDF BibTeX XML Cite \textit{J. Li}, Insur. Math. Econ. 71, 195--204 (2016; Zbl 1371.91100) Full Text: DOI OpenURL
Mao, Tiantian; Ng, Kai Wang Second-order properties of tail probabilities of sums and randomly weighted sums. (English) Zbl 1327.60073 Extremes 18, No. 3, 403-435 (2015). MSC: 60F10 60G50 60G70 26A12 PDF BibTeX XML Cite \textit{T. Mao} and \textit{K. W. Ng}, Extremes 18, No. 3, 403--435 (2015; Zbl 1327.60073) Full Text: DOI OpenURL
Li, Haijun; Hua, Lei Higher order tail densities of copulas and hidden regular variation. (English) Zbl 1321.62015 J. Multivariate Anal. 138, 143-155 (2015). MSC: 62H20 62E20 62G32 PDF BibTeX XML Cite \textit{H. Li} and \textit{L. Hua}, J. Multivariate Anal. 138, 143--155 (2015; Zbl 1321.62015) Full Text: DOI OpenURL
Hashorva, Enkelejd; Li, Jinzhu Tail behavior of weighted sums of order statistics of dependent risks. (English) Zbl 1309.62091 Stoch. Models 31, No. 1, 1-19 (2015). MSC: 62G32 62G30 62E10 62P05 91B30 PDF BibTeX XML Cite \textit{E. Hashorva} and \textit{J. Li}, Stoch. Models 31, No. 1, 1--19 (2015; Zbl 1309.62091) Full Text: DOI arXiv OpenURL
Li, Haijun; Xu, Susan H.; Kuo, Way Asymptotic analysis of simultaneous damages in spatial Boolean models. (English) Zbl 1298.60021 Ann. Oper. Res. 212, 139-154 (2014). Reviewer: Ilya S. Molchanov (Bern) MSC: 60D05 60G70 PDF BibTeX XML Cite \textit{H. Li} et al., Ann. Oper. Res. 212, 139--154 (2014; Zbl 1298.60021) Full Text: DOI OpenURL
Hua, Lei; Joe, Harry Strength of tail dependence based on conditional tail expectation. (English) Zbl 1278.62074 J. Multivariate Anal. 123, 143-159 (2014). MSC: 62H10 62G32 62H99 PDF BibTeX XML Cite \textit{L. Hua} and \textit{H. Joe}, J. Multivariate Anal. 123, 143--159 (2014; Zbl 1278.62074) Full Text: DOI OpenURL
Tang, Qihe; Yuan, Zhongyi Asymptotic analysis of the loss given default in the presence of multivariate regular variation. (English) Zbl 1412.91056 N. Am. Actuar. J. 17, No. 3, 253-271 (2013). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{Q. Tang} and \textit{Z. Yuan}, N. Am. Actuar. J. 17, No. 3, 253--271 (2013; Zbl 1412.91056) Full Text: DOI OpenURL
Xu, Maochao; Mao, Tiantian Optimal capital allocation based on the tail mean-variance model. (English) Zbl 1290.91152 Insur. Math. Econ. 53, No. 3, 533-543 (2013). MSC: 91G10 91B30 62P05 62G30 60G70 PDF BibTeX XML Cite \textit{M. Xu} and \textit{T. Mao}, Insur. Math. Econ. 53, No. 3, 533--543 (2013; Zbl 1290.91152) Full Text: DOI OpenURL
Abbasi, Babak; Hosseinifard, S. Zahra Tail conditional expectation for multivariate distributions: a game theory approach. (English) Zbl 1286.91061 Stat. Probab. Lett. 83, No. 10, 2228-2235 (2013). MSC: 91B30 91A12 60E05 PDF BibTeX XML Cite \textit{B. Abbasi} and \textit{S. Z. Hosseinifard}, Stat. Probab. Lett. 83, No. 10, 2228--2235 (2013; Zbl 1286.91061) Full Text: DOI OpenURL
Hua, Lei; Joe, Harry Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures. (English) Zbl 1284.60104 Insur. Math. Econ. 51, No. 2, 492-503 (2012). MSC: 60G70 62H05 91B30 PDF BibTeX XML Cite \textit{L. Hua} and \textit{H. Joe}, Insur. Math. Econ. 51, No. 2, 492--503 (2012; Zbl 1284.60104) Full Text: DOI OpenURL
Hua, Lei; Joe, Harry Second order regular variation and conditional tail expectation of multiple risks. (English) Zbl 1228.91039 Insur. Math. Econ. 49, No. 3, 537-546 (2011). MSC: 91B30 62P05 62H05 PDF BibTeX XML Cite \textit{L. Hua} and \textit{H. Joe}, Insur. Math. Econ. 49, No. 3, 537--546 (2011; Zbl 1228.91039) Full Text: DOI OpenURL