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

被引：3

作者：

Albrecher H. ^{[1
,2
]}

Asmussen S. ^{[3
]}

Kortschak D. ^{[2
]}

机构：

[1] Graz University of Technology, A-8010 Graz

[2] Radon Institute, Austrian Academy of Sciences, A-4040 Linz

[3] University of Aarhus, DK-8000 Aarhus C, Ny Munkegade

来源：

Extremes | 2006年 / 9卷 / 2期

基金：

奥地利科学基金会;

关键词：

Copula; Dependence; Exchangeability; Mean excess function; Regular variation; Subexponential distribution; Tail dependence;

D O I：

10.1007/s10687-006-0011-1

中图分类号：

学科分类号：

摘要：

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. © Springer Science+Business Media, LLC 2006.

引用

页码：107 / 130

页数：23

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