We study the asymptotic behavior of P(X − Y > u) as u → ∞, where X is subexponential and X, Y are positive random variables that may be dependent. We give criteria under which the subtraction of Y does not change the tail behavior of X. It is also studied under which conditions the comonotonic copula represents the worst-case scenario for the asymptotic behavior in the sense of minimizing the tail of X − Y and an explicit construction of the worst-case copula is provided in the other cases.
Originalsprog
Engelsk
Udgiver
Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet