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Multivariate Subexponential Distributions and Their Applications

File(s)
MultSubFinal.pdf (327.3 KB)
Permanent Link(s)
https://hdl.handle.net/1813/40837
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ORIE Technical Reports
Author
Samorodnitsky, Gennady
Sun, Julian
Abstract

We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the context of an insurance portfolio, when multivariate subexponentiality holds. Previously such results were available only in the case of multivariate regularly varying claims.

Sponsorship
This research was partially supported by the ARO
grant W911NF-12-10385 at Cornell University
Date Issued
2015-09-16
Keywords
heavy tails, subexponential distribution, regular variation, multivariate, insurance portfolio, ruin probability
Type
technical report

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