Modeling Multiple Risks: Hidden Domain of Attraction
AbstractHidden regular variation is a sub-model of multivariate regular variation and facilitates accurate estimation of joint tail probabilities. We generalize the model of hidden regular variation to what we call hidden domain of attraction. We exhibit examples that illustrate the need for a more general model and discuss detection and estimation techniques.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1110.0561.
Date of creation: Oct 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-15 (All new papers)
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