Asymptotics in the symmetrization inequality

Jaap Geluk

No EI 2003-44, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We give a sufficient condition for i.i.d. random variables X1,X2 in order to have P{X1-X2>x} ~ P{|X1|>x} as x tends to infinity. A factorization property for subexponential distributions is used in the proof. In a subsequent paper the results will be applied to model fragility of financial markets.

Keywords: convolution; heavy tails; subexponentiality; symmetrization (search for similar items in EconPapers)
Date: 2003-08-07
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