On the max-sum equivalence in presence of negative dependence and heavy tails

Authors

  • Remigijus Leipus Vilnius University
  • Yang Yang Southeast University
  • Lina Dindienė Vilnius University, KTU

DOI:

https://doi.org/10.5755/j01.itc.44.2.7312

Keywords:

Dominatedly varying distribution, Long tailed distribution, Max-sum equivalence, Negative dependence

Abstract

In this paper, following Li and Tang (2010), the equivalence of the
tail probabilities for the maximum and the sum with heavy-tailed summands under the negative dependence structure is investigated. Applications to some
risk models with financial and insurance risks are provided.

DOI: http://dx.doi.org/10.5755/j01.itc.44.2.7312

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Published

2015-06-25

Issue

Vol. 44 No. 2 (2015)

Section

Articles

License

Copyright terms are indicated in the Republic of Lithuania Law on Copyright and Related Rights, Articles 4-37.