Tail asymptotics for dependent subexponential differences

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Etat: Public
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ID Serval
serval:BIB_FE67F9C33AA1
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Tail asymptotics for dependent subexponential differences
Périodique
Siberian Mathematical Journal
Auteur(s)
Albrecher H., Asmussen S., Kortschak D.
ISSN
0037-4466
Statut éditorial
Publié
Date de publication
11/2012
Peer-reviewed
Oui
Volume
53
Numéro
6
Pages
965-983
Langue
anglais
Résumé
We study the asymptotic behavior of ℙ(X − Y > u) as u → ∞, where X is subexponential, Y is positive, and the random variables X and Y 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. Some explicit construction of the worst-case copula is provided in other cases.
Mots-clé
subexponential random variables, differences, dependence, copulas, mean excess function
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Création de la notice
20/03/2012 17:00
Dernière modification de la notice
20/08/2019 16:29
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