Modeling Multiple Risks: Hidden Domain of Attraction

Details Modeling Multiple Risks: Hidden Domain of Attraction Modeling Multiple Risks: Hidden Domain of Attraction

2011-10-04

arxiv.org/abs/1110.0561v1

Mathematics

Probability

18 pages

Scientific paper

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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