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