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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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Authors and Affiliations

  1. School of Operations Research and Information Engineering and Department of Statistical Science, Cornell University, Ithaca, NY, 14853, USA

    Gennady Samorodnitsky

  2. School of Operations Research and Information Engineering, Cornell University, Ithaca, NY, 14853, USA

    Julian Sun

Authors
  1. Gennady Samorodnitsky
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  2. Julian Sun
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Corresponding author

Correspondence to Gennady Samorodnitsky.

Additional information

This research was partially supported by the ARO grant W911NF-12-10385 at Cornell University.

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Samorodnitsky, G., Sun, J. Multivariate subexponential distributions and their applications. Extremes 19, 171–196 (2016). https://doi.org/10.1007/s10687-016-0242-8

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  • DOI: https://doi.org/10.1007/s10687-016-0242-8

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