A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables (Q2015296): Difference between revisions

Summary: We investigate the tailed asymptotic behavior of the randomly weighted sums with increments with convolution-equivalent distributions. Our obtained result can be directly applied to a discrete-time insurance risk model with insurance and financial risks and derive the asymptotics for the finite-time probability of the above risk model.

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1155/2013/273217

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cites work

Ruin problems with assets and liabilities of diffusion type

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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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Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

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Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

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Approximation of the tail probability of randomly weighted sums and applications

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Uniform estimate for maximum of randomly weighted sums with applications to ruin theory

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Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation

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Randomly weighted sums with dominated varying-tailed increments and application to risk theory

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

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Randomly weighted sums of subexponential random variables with application to ruin theory

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Finite time ruin probability with heavy-tailed insurance and financial risks

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Asymptotics of random contractions

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

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Extremes and products of multivariate AC-product risks

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Tail behavior of the product of two dependent random variables with applications to risk theory

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Convolution equivalence and infinite divisibility

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Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.

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On convolution equivalence with applications

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From light tails to heavy tails through multiplier

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The subexponentiality of products revisited

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An Introduction to Heavy-Tailed and Subexponential Distributions

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Identifiers

zbMATH Open document ID

1291.91135

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DOI

10.1155/2013/273217

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2015296

@@ Property / full work available at URL @@
+https://doi.org/10.1155/2013/273217
+Normal rank
@@ Property / OpenAlex ID @@
+W1973760215
@@ Property / OpenAlex ID: W1973760215 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q58915765
@@ Property / Wikidata QID: Q58915765 / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin problems with assets and liabilities of diffusion type
+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 @@
+Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
+Normal rank
@@ Property / cites work @@
+Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
+Normal rank
@@ Property / cites work @@
+Approximation of the tail probability of randomly weighted sums and applications
+Normal rank
@@ Property / cites work @@
+Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
+Normal rank
@@ Property / cites work @@
+Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums with dominated varying-tailed increments and application to risk theory
+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 @@
+Randomly weighted sums of subexponential random variables with application to ruin theory
+Normal rank
@@ Property / cites work @@
+Finite time ruin probability with heavy-tailed insurance and financial risks
+Normal rank
@@ Property / cites work @@
+Asymptotics of random contractions
@@ Property / cites work: Asymptotics of random contractions / rank @@
+Normal rank
@@ Property / cites work @@
+Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
+Normal rank
@@ Property / cites work @@
+Extremes and products of multivariate AC-product risks
+Normal rank
@@ Property / cites work @@
+Tail behavior of the product of two dependent random variables with applications to risk theory
+Normal rank
@@ Property / cites work @@
+Convolution equivalence and infinite divisibility
@@ Property / cites work: Convolution equivalence and infinite divisibility / rank @@
+Normal rank
@@ Property / cites work @@
+Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
+Normal rank
@@ Property / cites work @@
+On convolution equivalence with applications
@@ Property / cites work: On convolution equivalence with applications / rank @@
+Normal rank
@@ Property / cites work @@
+From light tails to heavy tails through multiplier
+Normal rank
@@ Property / cites work @@
+The subexponentiality of products revisited
@@ Property / cites work: The subexponentiality of products revisited / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to Heavy-Tailed and Subexponential Distributions
+Normal rank