A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* (Q6102193): Difference between revisions

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scientific article; zbMATH DE number 7683107

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English	A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*	scientific article; zbMATH DE number 7683107

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scholarly article

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title

A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* (English)

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Lithuanian Mathematical Journal

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publication date

8 May 2023

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zbMATH Keywords

Kesten-type inequality

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subexponential distribution

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randomly weighted sum

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dependence structure

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10986-023-09589-w

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cites work

A Kesten-type bound for sums of randomly weighted subexponential random variables

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An asymptotic study of systemic expected shortfall and marginal expected shortfall

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On the maximum of randomly weighted sums with regularly varying tails

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Bivariate regular variation among randomly weighted sums in general insurance

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Randomly weighted sums of dependent random variables with dominated variation

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Randomly weighted sums of dependent subexponential random variables with applications to risk theory

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Q4343010

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An Introduction to Heavy-Tailed and Subexponential Distributions

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Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest

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Asymptotic tail probabilities of sums of dependent subexponential random variables

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Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

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A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

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Sums of Dependent Nonnegative Random Variables with Subexponential Tails

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Some Concepts of Dependence

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On pairwise quasi-asymptotically independent random variables and their applications

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A note on a by-claim risk model: Asymptotic results

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A Note on Cumulative Sums

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Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.

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Randomly weighted sums of subexponential random variables with application to capital allocation

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Randomly weighted sums of dependent subexponential random variables

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Ruin probabilities allowing for delay in claims settlement

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Asymptotic ruin probabilities for a bidimensional renewal risk model

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On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims

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Tail probability of randomly weighted sums of subexponential random variables under a dependence structure

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Asymptotics for randomly weighted and stopped dependent sums

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Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

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Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation

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On Ultimate Ruin in a Delayed-Claims Risk Model

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Approximation of the tail probability of randomly weighted sums and applications

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Identifiers

DOI

10.1007/s10986-023-09589-w

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6102193

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10986-023-09589-w
+Normal rank
@@ Property / OpenAlex ID @@
+W4365148342
@@ Property / OpenAlex ID: W4365148342 / rank @@
+Normal rank
@@ Property / cites work @@
+A Kesten-type bound for sums of randomly weighted subexponential random variables
+Normal rank
@@ Property / cites work @@
+An asymptotic study of systemic expected shortfall and marginal expected shortfall
+Normal rank
@@ Property / cites work @@
+On the maximum of randomly weighted sums with regularly varying tails
+Normal rank
@@ Property / cites work @@
+Bivariate regular variation among randomly weighted sums in general insurance
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums of dependent random variables with dominated variation
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums of dependent subexponential random variables with applications to risk theory
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to Heavy-Tailed and Subexponential Distributions
+Normal rank
@@ Property / cites work @@
+Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
+Normal rank
@@ Property / cites work @@
+Asymptotic tail probabilities of sums of dependent subexponential random variables
+Normal rank
@@ Property / cites work @@
+Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
+Normal rank
@@ Property / cites work @@
+A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
+Normal rank
@@ Property / cites work @@
+Sums of Dependent Nonnegative Random Variables with Subexponential Tails
+Normal rank
@@ Property / cites work @@
+Some Concepts of Dependence
@@ Property / cites work: Some Concepts of Dependence / rank @@
+Normal rank
@@ Property / cites work @@
+On pairwise quasi-asymptotically independent random variables and their applications
+Normal rank
@@ Property / cites work @@
+A note on a by-claim risk model: Asymptotic results
+Normal rank
@@ Property / cites work @@
+A Note on Cumulative Sums
@@ Property / cites work: A Note on Cumulative Sums / rank @@
+Normal rank
@@ Property / cites work @@
+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums of subexponential random variables with application to capital allocation
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums of dependent subexponential random variables
+Normal rank
@@ Property / cites work @@
+Ruin probabilities allowing for delay in claims settlement
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities for a bidimensional renewal risk model
+Normal rank
@@ Property / cites work @@
+On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
+Normal rank
@@ Property / cites work @@
+Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
+Normal rank
@@ Property / cites work @@
+Asymptotics for randomly weighted and stopped dependent sums
+Normal rank
@@ Property / cites work @@
+Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
+Normal rank
@@ Property / cites work @@
+Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
+Normal rank
@@ Property / cites work @@
+On Ultimate Ruin in a Delayed-Claims Risk Model
@@ Property / cites work: On Ultimate Ruin in a Delayed-Claims Risk Model / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of the tail probability of randomly weighted sums and applications
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6102193