18 citations · 19 across the 2 of their papers we have counts for
2 papers
math.PR2014★ 1 cited
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…
math.PR2014★ 18 cited
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…