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March 2013 Living on the multidimensional edge: seeking hidden risks using regular variation
Bikramjit Das, Abhimanyu Mitra, Sidney Resnick
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Adv. in Appl. Probab. 45(1): 139-163 (March 2013). DOI: 10.1239/aap/1363354106

Abstract

Multivariate regular variation plays a role in assessing tail risk in diverse applications such as finance, telecommunications, insurance, and environmental science. The classical theory, being based on an asymptotic model, sometimes leads to inaccurate and useless estimates of probabilities of joint tail regions. This problem can be partly ameliorated by using hidden regular variation (see Resnick (2002) and Mitra and Resnick (2011)). We offer a more flexible definition of hidden regular variation that provides improved risk estimates for a larger class of tail risk regions.

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Bikramjit Das. Abhimanyu Mitra. Sidney Resnick. "Living on the multidimensional edge: seeking hidden risks using regular variation." Adv. in Appl. Probab. 45 (1) 139 - 163, March 2013. https://doi.org/10.1239/aap/1363354106

Information

Published: March 2013
First available in Project Euclid: 15 March 2013

zbMATH: 1276.60041
MathSciNet: MR3077544
Digital Object Identifier: 10.1239/aap/1363354106

Subjects:
Primary: 60F99, 62G32
Secondary: 60G70

Rights: Copyright © 2013 Applied Probability Trust

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Vol.45 • No. 1 • March 2013
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