Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

• Geluk, J.L.
• Vries, C.G. de

2004-09-12
Research Paper

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• subexponentiality
• systemic risk
• asymptotic dependence
• regular variation

• distribution
• subexponential
• theorem
• variable
• lemma
• result
• proof
• return
• ci xi
• function
• reinsurance
• assumption
• asset
• company
• portfolio
• condition
• subexponential distributions
• reinsurance companies
• market
• embrecht