Some asymptotic results for sums of dependent random variables, with actuarial applications (Q2581774): Difference between revisions
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Revision as of 01:53, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some asymptotic results for sums of dependent random variables, with actuarial applications |
scientific article |
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Some asymptotic results for sums of dependent random variables, with actuarial applications (English)
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10 January 2006
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The authors derive asymptotic relations for the tail probability for the distribution of a weighted sum of products of independent and identically distributed random variables in the presence of heavy-tailedness conditions. Three actuarial applications concerning (1) general stochastically discounted loss reserves, (2) IBNR loss reserves, and (3) the hurdle race problem are discussed and numerical illustrations are given.
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tail probability
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heavy-tailed distributions
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