IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v80y2010i23-24p1720-1723.html
   My bibliography  Save this article

A note on max-sum equivalence

Author

Listed:
  • Li, Jinzhu
  • Tang, Qihe

Abstract

For finitely many independent real-valued random variables, if their maximum follows a subexponential distribution, then the tail probabilities of their sum and maximum are asymptotically equivalent.

Suggested Citation

  • Li, Jinzhu & Tang, Qihe, 2010. "A note on max-sum equivalence," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1720-1723, December.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:23-24:p:1720-1723
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(10)00209-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Geluk, J.L. & De Vries, C.G., 2006. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
    2. Geluk, Jaap, 2009. "Some closure properties for subexponential distributions," Statistics & Probability Letters, Elsevier, vol. 79(8), pages 1108-1111, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gareth W. Peters & Rodrigo S. Targino & Pavel V. Shevchenko, 2013. "Understanding Operational Risk Capital Approximations: First and Second Orders," Papers 1303.2910, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
    2. Geluk, J.L. & Frenk, J.B.G., 2011. "Renewal theory for random variables with a heavy tailed distribution and finite variance," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 77-82, January.
    3. Sheremet, Oleg & Lucas, André, 2009. "Global loss diversification in the insurance sector," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 415-425, June.
    4. Chen Yu & Zhang Weiping & Liu Jie, 2010. "Asymptotic Tail Probability of Randomly Weighted Sum of Dependent Heavy-Tailed Random Variables," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 4(2), pages 1-11, July.
    5. Zhang, Yi & Shen, Xinmei & Weng, Chengguo, 2009. "Approximation of the tail probability of randomly weighted sums and applications," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 655-675, February.
    6. J.L. Geluk & L. de Haan & C.G. de Vries, 2007. "Weak & Strong Financial Fragility," Tinbergen Institute Discussion Papers 07-023/2, Tinbergen Institute.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:80:y:2010:i:23-24:p:1720-1723. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.