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摘要翻译：
多元正则变量在金融、电信、保险和环境科学等多种应用中发挥着评估尾部风险的作用。经典理论基于渐近模型，有时会导致对联合尾区概率的不准确和无用估计。这个问题可以通过使用隐正则变分部分地得到改善[Resnick,2002,Mitra and Resnick,2010]。我们提供了一个更灵活的隐规则变化的定义，为更大类别的风险尾部区域提供了改进的风险估计。
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英文标题：
《Living on the multi-dimensional edge: seeking hidden risks using regular
variation》
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作者：
Bikramjit Das, Abhimanyu Mitra and Sidney Resnick
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最新提交年份：
2011
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分类信息：
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
Multivariate regular variation plays a role assessing tail risk in diverse applications such as finance, telecommunications, insurance and environmental science. The classical theory, being based on an asymptotic model, sometimes leads to inaccurate and useless estimates of probabilities of joint tail regions. This problem can be partly ameliorated by using hidden regular variation [Resnick, 2002, Mitra and Resnick, 2010]. We offer a more flexible definition of hidden regular variation that provides improved risk estimates for a larger class of risk tail regions.
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PDF链接：
https://arxiv.org/pdf/1108.5560
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