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Tail Asymptotics for the Sum of two Heavy-tailed Dependent Risks

Publikation: Working paperForskning


  • Institut for Matematiske Fag
  • T.N. Thiele Centre

Let X1,X2 denote positive exchangable heavy-tailed random variables with continuous marginal distribution function F. The asymptotic behavior of the tail of X1 + X2 is studied in a general copula framework and some bounds and extremal properties are provided. For more specific assumptions on F and the underlying dependence structure of X1 and X2, we survey explicit asymptotic results available in the literature and add several new cases.

UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider23
StatusUdgivet - 9 aug. 2005

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