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

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

Content Provider	Springer Nature Link
Author	Albrecher, Hansjörg Asmussen, Søren Kortschak, Dominik
Copyright Year	2006
Abstract	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.
Starting Page	107
Ending Page	130
Page Count	24
File Format	PDF
ISSN	13861999
Journal	Extremes
Volume Number	9
Issue Number	2
e-ISSN	1572915X
Language	English
Publisher	Kluwer Academic Publishers-Plenum Publishers
Publisher Date	2006-08-18
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Copula Dependence Mean excess function Regular variation Subexponential distribution Exchangeability Tail dependence Statistics for Business/Economics/Mathematical Finance/Insurance Environmental Management Hydrogeology Civil Engineering Quality Control, Reliability, Safety and Risk Statistics
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Economics, Econometrics and Finance Engineering

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