Sums of Dependent Nonnegative Random Variables with Subexponential Tails

Bangwon Ko · Qihe Tang

89 citations0/0 files storedJournal of Applied Probability

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Probability and Risk Models Probability and Statistical Research Point processes and geometric inequalities

Abstract

In this paper we study the asymptotic tail probabilities of sums of subexponential, nonnegative random variables, which are dependent according to certain general structures with tail independence. The results show that the subexponentiality of the summands eliminates the impact of the dependence on the tail behavior of the sums.

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References

1999An Introduction to Copulas 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1999Dependence Measures for Extreme Value Analyses 1986Convolution tails, product tails and domains of attraction 2003Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory 2004On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications

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2015Tail behavior of sums and differences of log-normal random variables 2009On Sums of Conditionally Independent Subexponential Random Variables

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