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