Dominik Kortschak

University of Lausanne

Quartier Chambronne

Lausanne, Vaud CH-1015

Switzerland

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Scholarly Papers (1)

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Aggregation of Randomly Weighted Large Risks

IMA Journal of Management Mathematics, 28(3), pp. 403–419. doi:10.1093/imaman/dpv020.
Number of pages: 21 Posted: 29 Jan 2012 Last Revised: 08 Feb 2018
Alexandru Vali Asimit, Enkelejd Hashorva and Dominik Kortschak
Cass Business School, City, University of London, University of Lausanne, Actuarial Department and University of Lausanne
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Abstract:

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Davis-Resnick tail property; Extreme value distribution; Max-domain of attraction; Mitra-Resnick model; Risk aggregation