Asymptotics for the partial sum and its maximum of dependent random variables

DOI10.1007/s10986-017-9348-1zbMath1381.60073OpenAlexW2592480240MaRDI QIDQ2627903

Yanyan Li

Publication date: 1 June 2017

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-017-9348-1

zbMATH Keywords

finite-time ruin probabilitydiscrete-time risk modeldominated variationlong tailpairwise asymptotical independencepairwise upper extended negative dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)

Related Items (2)

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ Ruin probability for the bi-seasonal discrete time risk model with dependent claims

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak max-sum equivalence for dependent heavy-tailed random variables
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• A note on a dependent risk model with constant interest rate
• A note on max-sum equivalence
• Parametric families of multivariate distributions with given margins
• Approximation of the tail probability of randomly weighted sums and applications
• Precise large deviations for dependent random variables with heavy tails
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Some concepts of negative dependence
• Subexponentiality of the product of independent random variables
• Ruin problems with assets and liabilities of diffusion type
• Negative association of random variables, with applications
• Exact asymptotics for fluid queues fed by multiple heavy-tailed on-off flows.
• Nonparametric regression under dependent errors with infinite variance
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails

This page was built for publication: Asymptotics for the partial sum and its maximum of dependent random variables