Article: article from journal or magazin.
Tail asymptotics for dependent subexponential differences
Siberian Mathematical Journal
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.
subexponential random variables, differences, dependence, copulas, mean excess function
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