Asymptotics in the symmetrization inequality

We give a sufficient condition for i.i.d. random variables X1,X2 in order to have P{X1-X2>x} ~ P{|X1|>x} as x tends to infinity. A factorization property for subexponential distributions is used in the proof. In a subsequent paper the results will be applied to model fragility of financial markets.

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Year of publication:	2003-08-07
Authors:	Geluk, J.L.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	symmetrization \| heavy tails \| convolution \| subexponentiality

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 2003-44
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008584695