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Tail asymptotics for dependent subexponential differences

Publikation: Working paperForskning

Dokumenter

  • H Albrecher, Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne and Swiss Finance Institute, Schweiz
  • Søren Asmussen
  • D. Kortschak, Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Schweiz
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.
OriginalsprogEngelsk
UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider20
StatusUdgivet - 8 sep. 2011

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