Aarhus University Seal / Aarhus Universitets segl

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

Publikation: Working paperForskning

Dokumenter

  • 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.

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

Se relationer på Aarhus Universitet Citationsformater

Download-statistik

Ingen data tilgængelig

ID: 465396