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Modeling Multiple Risks: Hidden Domain of Attraction

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  • Abhimanyu Mitra
  • Sidney I. Resnick

Abstract

Hidden 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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  • Abhimanyu Mitra & Sidney I. Resnick, 2011. "Modeling Multiple Risks: Hidden Domain of Attraction," Papers 1110.0561, arXiv.org.
  • Handle: RePEc:arx:papers:1110.0561
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    File URL: http://arxiv.org/pdf/1110.0561
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    1. Abhimanyu Mitra & Sidney I. Resnick, 2010. "Hidden Regular Variation: Detection and Estimation," Papers 1001.5058, arXiv.org, revised Sep 2010.
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