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math.ST2016
Risk contagion under regular variation and asymptotic tail independence
Bikramjit Das, Vicky Fasen
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk c…
math.ST2016
Hidden Regular Variation under Full and Strong Asymptotic Dependence
Bikramjit Das, Sidney I. Resnick
Data exhibiting heavy-tails in one or more dimensions is often studied using the framework of regular variation. In a multivariate setting this requires identifying specific forms…