Sums of dependent nonnegative random variables with subexponential tails
Bangwon Ko and Qihe Tang
Source: J. Appl. Probab. Volume 45, Number 1 (2008), 85-94.
Abstract
In this paper we study the asymptotic tail probabilities of sums of subexponential, nonnegative random variables, which are dependent according to certain general structures with tail independence. The results show that the subexponentiality of the summands eliminates the impact of the dependence on the tail behavior of the sums.
Primary Subjects: 62E20
Secondary Subjects: 60G70, 62H20
Keywords: Asymptotics; copula; dependence; subexponentiality; uniformity
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1208358953
Digital Object Identifier: doi:10.1239/jap/1208358953
Mathematical Reviews number (MathSciNet):
MR2409312
Zentralblatt MATH identifier:
1137.62310
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Journal of Applied Probability
