Multivariate subexponential distributions and their applications
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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.
KeywordsHeavy tails Subexponential distribution Regular variation Multivariate Insurance portfolio Ruin probability
AMS 2000 Subject ClassificationsPrimary 60E05 91B30. Secondary 60G70
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