Tail asymptotics for the sum of two heavy-tailed dependent risks

Extremes

Volumn 9, Issue 2, 2006, Pages 107-130

  Albrecher, Hansjörg ^a,b   Asmussen, Søren ^c   Kortschak, Dominik ^b  

^a GRAZ UNIVERSITY OF TECHNOLOGY   (Austria)

^b JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS   (Austria)

^c AARHUS UNIVERSITY   (Denmark)

Author keywords

Copula; Dependence; Exchangeability; Mean excess function; Regular variation; Subexponential distribution; Tail dependence

Indexed keywords

EID: 37849186052     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-006-0011-1     Document Type: Article

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