Search Results - subject:"Subexponentiality"

Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities

Geluk, J.L.; Vries, C.G. de - Erasmus University Rotterdam, Econometric Institute - 2004

systemic risk. AMS 1991 subject classification. Primary 60F05; secondary 62E20. Key words. Subexponentiality, regular variation … subexponentiality in different areas, the reader is referred to the book by Embrechts, Kl¨uppelberg and Mikosch [13] or, more recently … of regular variation of the tail function is replaced with subexponentiality plus a one-sided growth condition. Although …

Persistent link: https://www.econbiz.de/10004991125

Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

Geluk, J.L.; Vries, C.G. de - Tinbergen Institute - 2004

Suppose are independent subexponential random variables with partial sums. We show that if the pairwise sums of the ’s are subexponential, then is subexponential and . The result is applied to give conditions under which as , where are constants such that is a.s. convergent. Asymptotic tail...

Persistent link: https://www.econbiz.de/10005281962

Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

Geluk, J.L.; Vries, C.G. de - Tinbergen Instituut - 2004

Persistent link: https://www.econbiz.de/10011255556

Weighted sums of subexponential random variables and asymptotic dependence between Returns on reinsurance equities

Geluk, J. L.; Vries, Casper G. de - 2004

Persistent link: https://www.econbiz.de/10011337998

Asymptotics in the symmetrization inequality

Geluk, J.L. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

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.

Persistent link: https://www.econbiz.de/10010837803

Asymptotics in the symmetrization inequality

Geluk, J.L. - Erasmus University Rotterdam, Econometric Institute - 2003

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

A note on max-sum equivalence

Li, Jinzhu; Tang, Qihe - In: Statistics & Probability Letters 80 (2010) 23-24, pp. 1720-1723

For finitely many independent real-valued random variables, if their maximum follows a subexponential distribution, then the tail probabilities of their sum and maximum are asymptotically equivalent.

Persistent link: https://www.econbiz.de/10008868859

Asymptotics in the symmetrization inequality

Geluk, Jaap - In: Statistics & Probability Letters 69 (2004) 1, pp. 63-68

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-->[infinity]. A factorization property for subexponential distributions is used in the proof.

Persistent link: https://www.econbiz.de/10005223998