Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation

DOI10.1007/S10255-009-8155-9zbMath1209.62117OpenAlexW3141343993MaRDI QIDQ2431052

Hai-Zhong Yang

Publication date: 8 April 2011

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

Full work available at URL: https://doi.org/10.1007/s10255-009-8155-9

zbMATH Keywords

tail probabilitydominated variationrandomly weighted sums

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Inequalities; stochastic orderings (60E15) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Randomly weighted sums of dependent random variables with dominated variation ⋮ On the ruin probability in a dependent discrete time risk model with insurance and financial risks ⋮ Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails

Cites Work

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• Approximation of the tail probability of randomly weighted sums and applications
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

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