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A note on max-sum equivalence

Author

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  • 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
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    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.
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    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.

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