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Tail asymptotics for dependent subexponential differences

Publikation: Working paper › Forskning

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Tail asymptotics for dependent subexponential differences. / Albrecher, H; Asmussen, Søren; Kortschak, D.

Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2011.

Publikation: Working paper › Forskning

Harvard

Albrecher, H, Asmussen, S & Kortschak, D 2011 'Tail asymptotics for dependent subexponential differences' Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

APA

Albrecher, H., Asmussen, S., & Kortschak, D. (2011). Tail asymptotics for dependent subexponential differences. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

CBE

Albrecher H, Asmussen S, Kortschak D. 2011. Tail asymptotics for dependent subexponential differences. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

MLA

Albrecher, H, Søren Asmussen og D. Kortschak Tail asymptotics for dependent subexponential differences. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet. 2011., 20 s.

Vancouver

Albrecher H, Asmussen S, Kortschak D. Tail asymptotics for dependent subexponential differences. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet. 2011 sep 8.

Author

Albrecher, H ; Asmussen, Søren ; Kortschak, D. / Tail asymptotics for dependent subexponential differences. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2011.

Bibtex

@techreport{71c08c1cd9c34427bcf824720eb46b53,
title = "Tail asymptotics for dependent subexponential differences",
abstract = "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.",
author = "H Albrecher and S{\o}ren Asmussen and D. Kortschak",
year = "2011",
month = sep,
day = "8",
language = "English",
publisher = "Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet",
type = "WorkingPaper",
institution = "Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Tail asymptotics for dependent subexponential differences

AU - Albrecher, H

AU - Asmussen, Søren

AU - Kortschak, D.

PY - 2011/9/8

Y1 - 2011/9/8

N2 - 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.

AB - 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.

M3 - Working paper

BT - Tail asymptotics for dependent subexponential differences

PB - Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet

ER -