论文信息 - Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices

Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices

We derive asymptotic approximation of high risk probability (ruin probability) for multidimensional aggregated reliability index which is a linear combination of single independent indexes, whose reliability functions (distribution tails) behave like Weibull tails.

Enkelejd Hashorva | Vladimir I. Piterbarg | Julia Farkas

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