Randomly weighted sums of dependent random variables with dominated variation

DOI10.1016/J.JMAA.2014.06.048zbMath1415.60055OpenAlexW2082988731MaRDI QIDQ401104

Dong Ya Cheng

Publication date: 26 August 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.06.048

zbMATH Keywords

dominated variationrandomly weighted sumsasymptotically lower boundasymptotically upper boundpairwise asymptotic independence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70)

Related Items (17)

Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ A note on randomly weighted sums of dependent subexponential random variables ⋮ Randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Generalized moments of sums with heavy-tailed random summands ⋮ Conditional tail expectation of randomly weighted sums with heavy-tailed distributions ⋮ A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables ⋮ On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures ⋮ Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables ⋮ The moment of maximum normed randomly weighted sums of martingale differences ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Randomly weighted sums of dependent subexponential random variables
• A note on a dependent risk model with constant interest rate
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Approximation of the tail probability of randomly weighted sums and applications
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Subexponentiality of the product of independent random variables
• Hidden regular variation, second order regular variation and asymptotic independence
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation
• The subexponentiality of products revisited
• Characterizations and examples of hidden regular variation
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• One-sided analogues of Karamata's regular variation
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Tail Behavior of Randomly Weighted Sums
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Statistics for near independence in multivariate extreme values
• Asymptotics for Weighted Random Sums
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• On a Theorem of Breiman and a Class of Random Difference Equations
• Heavy-Tail Phenomena
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

This page was built for publication: Randomly weighted sums of dependent random variables with dominated variation