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Tail Asymptotics for Dependent Subexponential Differences

by H. Albrecher, S. Asmussen and D. Kortschak
Thiele Research Reports Number 8 (September 2011)
We study the asymptotic behavior of P(XY>u) as u, where X is subexponential and X,Y are positive random variables that may be dependent. We give criteria under which the subtraction of Y does not change the tail behavior of X. It is also studied under which conditions the comonotonic copula represents the worst-case scenario for the asymptotic behavior in the sense of minimizing the tail of XY and an explicit construction of the worst-case copula is provided in the other cases.
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