Large deviations for randomly weighted sums with dominantly varying tails and widely orthant dependent structure

DOI10.1186/1029-242X-2014-140zbMath1307.62037OpenAlexW2122598090WikidataQ59323856 ScholiaQ59323856MaRDI QIDQ2258707

Lixing Song, Tao Hu, Xiaodong Bai

Publication date: 26 February 2015

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

Full work available at URL: https://doi.org/10.1186/1029-242x-2014-140

zbMATH Keywords

large deviationsdominated variationrandomly weighted sumswidely orthant dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Large deviations (60F10)

Cites Work

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• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Precise large deviations for the prospective-loss process

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