| 1 |
Araujo A , Giné E . The Central Limit Theorem for Real and Banach Valued Random Variables. New York: John Wiley & Sons, 1980
|
| 2 |
Basrak B, Davis R A, Mikosch T. A characterization of multivariate regular variation. Annals of Applied Probability, 2002, 12(3): 908-920
|
| 3 |
de Haan L , Ferreira A . Extreme Value Theory. New York: Springer, 2006
|
| 4 |
Hua L , Joe H . Second order regular variation and conditional tail expectation of multiple risks. Insurance:Mathmatics and Economics, 2011, 49: 537- 546
doi: 10.1016/j.insmatheco.2011.08.013
|
| 5 |
Hult H , Lindskog F . Multivariate extremes, aggregation and dependence in elliptical distributions. Advances in Applied Probability, 2002, 34 (3): 587- 608
doi: 10.1239/aap/1033662167
|
| 6 |
Mainik G. On Asymptotic Diversification Effects for Heavy-Tailed Risks[D]. Freiburg: University of Freiburg, 2010
|
| 7 |
Mainik G , Rüschendorf L . On optimal portfolio diversification with respect to extreme risks. Finance and Stochastics, 2010, 14: 593- 623
doi: 10.1007/s00780-010-0122-z
|
| 8 |
Mainik G , Rüschendorf L . Ordering of multivariate risk models with respect to extreme portfolio losses. Statistics & Risk Modelling, 2012, 29: 73- 105
|
| 9 |
Mainik G , Embrechts P . Diversification in heavy-tailed portfolios:properties and pitfalls. Annals of Actuarial Science, 2013, 7 (1): 26- 45
doi: 10.1017/S1748499512000280
|
| 10 |
Sidney I R . Extreme Values, Regular Variation, and Point Processes. New York: Springer-Verlag, 1987
|
| 11 |
Sidney I R . Heavy-Tail Phenomena. New York: Springer, 2007
|
),Xiaohu Li3,Suling Kang4,Huangping Shi1
