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Multivariate Subexponential Distributions and Their Applications by Samorodnitsky, Gennady; Sun, Julian is a scholarly article available to read on EtoBox.

What is Multivariate Subexponential Distributions and Their Applications about?

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.

Author

Samorodnitsky, Gennady; Sun, Julian

Published

2015

Language

EN