Tail asymptotics for dependent subexponential differences

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Auteurs

Discipline

Economies et finances

Type de document

Articles

Périmètre

Publications

Langue

Anglais

Identifiant

doi: 10.1134/S003744661206002X

Source

Serveur académique Lausannois

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Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1134/S003744661206002X

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info:eu-repo/semantics/altIdentifier/pissn/0037-4466

Ce document est lié à :
info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:serval-BIB_FE67F9C33AA10

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Serveur Académique Lausannois

Organisation

Université de Lausanne et CHUV

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info:eu-repo/semantics/openAccess , Copying allowed only for non-profit organizations , https://serval.unil.ch/disclaimer

Mots-clés 0

subexponential random variables; differences; dependence; copulas; mean excess function

Sujets proches En

Cauda Animal behavior Habits and behavior

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H. Albrecher et al., « Tail asymptotics for dependent subexponential differences », Serveur académique Lausannois, ID : 10.1134/S003744661206002X

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Résumé 0

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.

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