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Extremes

, Volume 19, Issue 2, pp 171–196 | Cite as

Multivariate subexponential distributions and their applications

  • Gennady Samorodnitsky
  • Julian Sun
Article

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.

Keywords

Heavy tails Subexponential distribution Regular variation Multivariate Insurance portfolio Ruin probability 

AMS 2000 Subject Classifications

Primary 60E05 91B30. Secondary 60G70 

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  1. 1.School of Operations Research and Information Engineering and Department of Statistical ScienceCornell UniversityIthacaUSA
  2. 2.School of Operations Research and Information EngineeringCornell UniversityIthacaUSA

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