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.

convolution, heavy tails, subexponentiality, symmetrization
Econometric Institute Research Papers
Erasmus School of Economics

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