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- W4308353279 abstract "We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete characterization of regular variation on cones in $[0,infty)^d$ under random linear transformations. This allows us to compute probabilities of a variety of tail events, which classical multivariate regularly varying models would report to be asymptotically negligible. We illustrate our findings with applications to risk assessment in financial systems and reinsurance markets under a bipartite network structure." @default.
- W4308353279 created "2022-11-11" @default.
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- W4308353279 date "2019-04-14" @default.
- W4308353279 modified "2023-10-04" @default.
- W4308353279 title "Tail probabilities of random linear functions of regularly varying random vectors" @default.
- W4308353279 doi "https://doi.org/10.48550/arxiv.1904.06824" @default.
- W4308353279 hasPublicationYear "2019" @default.
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