Template-Type: ReDIF-Paper 1.0
Author-Name: Geluk, J.L.
Author-Name-Last: Geluk
Author-Name-First: Jaap
Title: Asymptotics in the symmetrization inequality
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.
Creation-Date: 2003-08-07
File-URL: https://repub.eur.nl/pub/1055/ei200344.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2003-44
Keywords: convolution, heavy tails, subexponentiality, symmetrization
Handle: RePEc:ems:eureir:1055