Some asymptotic results for sums of dependent random variables, with actuarial applications (Q2581774): Difference between revisions

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.