Tid: 16 september 2002 kl 1515-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Henrik Hult, Matematisk statistik, KTH.
Titel: On multivariate regular variation
Sammanfattning: We will give a brief introduction to the topic of multivariate regularly varying random vectors and present some new results on random sums of such random vectors. The main tool for deriving the results comes from the theory of vague convergence. We will also give some applications of the results in different directions related to portfolio risk management.