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

  • Remigijus Leipus Vilnius University
  • Yang Yang Southeast University
  • Lina DindienÄ— Vilnius University, KTU
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

Published
2015-06-25
Section
Articles