Tail asymptotics for the sum of two heavy-tailed dependent risks (Q2463693)
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English | 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 (English)
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16 December 2007
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For a heavy-tailed bivariate r.v. \((X_1,X_2)\) the tail behaviour of \(X_1+X_2\) is investigated in a general copula framework. Representations and inequalities for \(P(X_1+X_2>x)\) are given. E.g. it is shown that if \(P(X_1>x)\) is regularly varying with an index \(-\alpha\), then \( \lim\sup_{x\to\infty} P(X_1+X_2>x)/P(X_1>x) \) is less then \((\hat\lambda^{1/(\alpha+1)}+(1+c-2\hat\lambda))^{\alpha+1}\) if \(\hat\lambda\leq (1+c)/3\), where \(\hat\lambda=\lim_{x\to\infty}P(X_2>x| X_1>x)\), \(c=\lim_{x\to\infty}P(X_2>x)/P(X_1>x)<1\). Lognormal marginal distribution, Archimedian, Farlie-Gumbel-Morgenstern and linear Spearman copulas are considered as examples.
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copula
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mean excess function
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subexponential distribution
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tail dependence
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