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math.PR2009
Tails of multivariate Archimedean copulas
Arthur Charpentier, Johan Segers
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired propertie…
math.PR2007
Tails of random sums of a heavy-tailed number of light-tailed terms
Christian Y. Robert, Johan Segers
The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of…