The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables

DOI10.1016/J.SPL.2008.02.036zbMath1171.62011OpenAlexW1998843237MaRDI QIDQ951218

Qi-Bing Gao, Chun-hua Zhu

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.036

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20)

Related Items (4)

Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ Unnamed Item ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables

Cites Work

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• Convolution tails, product tails and domains of attraction
• Randomly weighted sums of subexponential random variables with application to ruin theory
• On the distribution of the maxima of partial sums
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Maxima of Sums of Heavy-Tailed Random Variables
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS

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