Uniform estimate for the tail probabilities of randomly weighted sums

DOI10.1007/s10255-014-0446-0zbMath1305.62085OpenAlexW2016304756MaRDI QIDQ477566

Chuan-Cun Yin, Yin-Feng Wang, Xin Sheng Zhang

Publication date: 9 December 2014

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-014-0446-0

zbMATH Keywords

uniform estimaterandomly weighted sumsclass \(\mathcal{D} \cap \mathcal{L}\)upper tail asymptotically independence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70)

Related Items (3)

A quasi-Bayesian change point detection with exchangeable weights ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

Cites Work

• Unnamed Item
• Unnamed Item
• An introduction to copulas.
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• Approximation for the ruin probabilities in a discrete time risk model with dependent risks
• 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
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Weighted sums of subexponential random variables and their maxima

This page was built for publication: Uniform estimate for the tail probabilities of randomly weighted sums