Tail asymptotics for dependent subexponential differences

DOI10.1134/S003744661206002XzbMath1257.62016OpenAlexW2163083385MaRDI QIDQ1935731

Dominik Kortschak, Hansjoerg Albrecher, Soren Asmussen

Publication date: 19 February 2013

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s003744661206002x

zbMATH Keywords

copulasdifferencesdependencemean excess functionsubexponential random variables

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Optimal bounds for integrals with respect to copulas and applications ⋮ On Exceedance Times for Some Processes with Dependent Increments ⋮ Tail behavior of sums and differences of log-normal random variables

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