18 citations · 29 across the 4 of their papers we have counts for
5 papers
Tail asymptotics of randomly weighted large risks
Alexandru V. Asimit, Enkelejd Hashorva, Dominik Kortschak
In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are ap…
Efficient simulation of tail probabilities for sums of log-elliptical risks
D. Kortschak, E. Hashorva
In the framework of dependent risks it is a crucial task for risk management purposes to quantify the probability that the aggregated risk exceeds some large value u. Motivated by…
Second order asymptotics of aggregated log-elliptical risk
D. Kortschak, E. Hashorva
In this paper we establish the error rate of first order asymptotic approximation for the tail probability of sums of log-elliptical risks. Our approach is motivated by extreme val…
Tail Asymptotics of Random Sum and Maximum of Log-Normal Risks
Enkelejd Hashorva, Dominik Kortschak
In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum inves…
Second order corrections for the limits of normalized ruin times in the presence of heavy tails
Søren Asmussen, Dominik Kortschak
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is prov…