Expectation of the truncated randomly weighted sums with dominatedly varying summands
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Publication:1728118
DOI10.1007/S10986-018-9408-1zbMath1412.62029OpenAlexW2897055813MaRDI QIDQ1728118
Olena Ragulina, Jonas Šiaulys, Eglė Jaunė
Publication date: 22 February 2019
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-018-9408-1
value at riskasymptotic boundconditional tail expectationtruncated distributionrandom weightdominatedly varying distributionquasiasymptotic independencetail expectation
Asymptotic distribution theory in statistics (62E20) Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)
Related Items (5)
Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Generalized moments of sums with heavy-tailed random summands ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
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