Tail asymptotics for the sum of two heavy-tailed dependent risks |
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| Authors: | Hansjörg Albrecher Søren Asmussen Dominik Kortschak |
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| Institution: | (1) Graz University of Technology, Steyrergasse 30, A-8010 Graz, Austria;(2) Radon Institute, Austrian Academy of Sciences, Altenbergerstrasse 69, A-4040 Linz, Austria;(3) University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark |
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| 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.Supported by the Austrian Science Fund Project P-18392. |
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| Keywords: | Copula Dependence Mean excess function Regular variation Subexponential distribution Exchangeability Tail dependence |
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