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math.ST2024
Tail Asymptotic of Heavy-Tail Risks with Elliptical Copula
Kai Wang, Chengxiu Ling
We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, en…
math.ST2023★ 1 cited
Extreme Limit Theory of Competing Risks under Power Normalization
Kaihao Hu, Kai Wang, Corina Constantinescu +2
Advanced science and technology provide a wealth of big data from different sources for extreme value analysis. Classical extreme value theory was extended to obtain an accelerated…