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dc.contributor.authorSamorodnitsky, Gennady
dc.contributor.authorSun, Julian
dc.description.abstractWe 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.en_US
dc.description.sponsorshipThis research was partially supported by the ARO grant W911NF-12-10385 at Cornell Universityen_US
dc.subjectheavy tails, subexponential distribution, regular variation, multivariate, insurance portfolio, ruin probabilityen_US
dc.titleMultivariate Subexponential Distributions and Their Applicationsen_US
dc.typetechnical reporten_US

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