Aarhus Universitets segl

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 $\mathbb{P}(X-Y>u)$ as $u\to\infty$, 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 $X-Y$ and an explicit construction of the worst-case copula is provided in the other cases.
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