Tail asymptotics for the sum of two heavy-tailed dependent risks

Springer Science and Business Media LLC - Tập 9 - Trang 107-130 - 2006
Hansjörg Albrecher1,2, Søren Asmussen3, Dominik Kortschak2
1Graz University of Technology, Graz, Austria
2Radon Institute, Austrian Academy of Sciences, Linz, Austria
3University of Aarhus, Aarhus C, Denmark

Tóm tắt

Let X 1 , X 2 denote positive heavy-tailed random variables with continuous marginal distribution functions F 1 and F 2, respectively. The asymptotic behavior of the tail of X 1 +X 2 is studied in a general copula framework and some bounds and extremal properties are provided. For more specific assumptions on F 1 , F 2 and the underlying dependence structure of X 1 and X 2, we survey explicit asymptotic results available in the literature and add several new cases.

Tài liệu tham khảo

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