Tail Asymptotics for Dependent Subexponential Differences
نویسنده
چکیده
We study the asymptotic behavior of P(X − Y > u) as u → ∞, where X is subexponential, Y is positive and the random variables X,Y may be dependent. We give criteria under which the subtraction of Y does not change the tail behavior of X. It is also studied under which conditions the comonotonic copula represents the worst-case scenario for the asymptotic behavior in the sense of minimizing the tail of X − Y , and an explicit construction of the worst-case copula is provided in the other cases.
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