serval:BIB_E71C99A9C6A8
Tail asymptotics for the sum of two heavy-tailed dependent risks
10.1007/s10687-006-0011-1
Albrecher
H.
author
Asmussen
S.
author
Kortschak
D.
author
article
2006
Extremes
1386-1999
journal
9
2
107-130
Let X1, X2 denote positive heavy-tailed random variables with continuous marginal distribution functions F1 and F2, respectively. 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 F1, F2 and the underlying dependence structure of X1 and X2, we survey explicit asymptotic results available in the literature and add several new cases.
Copula
Dependence
Mean excess function
Regular variation
Subexponential distribution
Exchangeability
Tail dependence
eng
60_published
peer-reviewed
University of Lausanne
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