Multivariate Subexponential Distributions and Their Applications
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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.
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This research was partially supported by the ARO
grant W911NF-12-10385 at Cornell University
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2015-09-16
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heavy tails, subexponential distribution, regular variation, multivariate, insurance portfolio, ruin probability
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Government Document
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technical report