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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1110.0561.
Date of creation: Oct 2011
Date of revision:
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-15 (All new papers)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.