EMIS ELibM Electronic Journals Publications de l'Institut Mathématique, Nouvelle Série
Vol. 80(94), pp. 171–192 (2006)

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Anders Hedegaard Jessen and Thomas Mikosch

Laboratory of Actuarial Mathematics, University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen, Denmark

Abstract: We consider some elementary functions of the components of a regularly varying random vector such as linear combinations, products, minima, maxima, order statistics, powers. We give conditions under which these functions are again regularly varying, possibly with a different index.

Classification (MSC2000): 60G70; 62P05

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Electronic fulltext finalized on: 10 Oct 2006. This page was last modified: 4 Dec 2006.

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