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

zbMath1112.62123MaRDI QIDQ880855

Yong Zeng, Chun Su, Ding Cheng Wang

Publication date: 29 May 2007

Published in: Science in China. Series A (Search for Journal in Brave)

zbMATH Keywords

ruin probability; tail probabilities; heavy-tails; discount factor; dependent stochastic return; discrete time insurance risk model; maxima of randomly weighted sums; uniformly asymptotic estimate

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62G32: Statistics of extreme values; tail inference

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