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04-102/2 - Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

  • Authors
    J.L. Geluk, Faculty of Economics, Erasmus Universiteit Rotterdam; C.G. de Vries, Faculty of Economics, Erasmus Universiteit Rotterdam
  • Publication date
    September 20, 2004
  • Keywords
    Subexponentiality; regular variation; systemic risk; asymptotic dependence
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