Distinguishing Log-Concavity from Heavy Tails
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Cited by:
- Miriam Hägele & Jaakko Lehtomaa, 2021. "Large Deviations for a Class of Multivariate Heavy-Tailed Risk Processes Used in Insurance and Finance," JRFM, MDPI, vol. 14(5), pages 1-18, May.
- Denuit, Michel & Ortega-Jimenez, Patricia & Robert, Christian Y., 2024. "Conditional expectations given the sum of independent random variables with regularly varying densities," LIDAM Discussion Papers ISBA 2024006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Miriam Hägele & Jaakko Lehtomaa, 2023. "On the Identification of the Riskiest Directional Components from Multivariate Heavy-Tailed Data," Risks, MDPI, vol. 11(7), pages 1-18, July.
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Keywords
heavy-tailed; log-concave; mean excess function; principle of a single big jump;All these keywords.
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