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.

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Econometric Institute Research Papers
Erasmus School of Economics

Geluk, J. (2003). Asymptotics in the symmetrization inequality (No. EI 2003-44). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1055