The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables (Q951218)
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English | The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables |
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The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables (English)
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30 October 2008
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Let \(\{X_k,\;1\leq k\leq n\}\) be \(n\) independent and real-valued random variables with common subexponential distribution function \(F\). Following the work of \textit{Q. Tang} and \textit{G. Tsitsiashvili} [Randomly weighted sums of subexponential random variables with application to ruin theory. Extremes 6, No.~3, 171--188 (2003; Zbl 1049.62017)], we revisit the weighted sum \(S_n=\sum^n_{k=1}c_kX_k\) and we find an interval \([u(x),v(x)]\) with \(u(x)\downarrow 0\) and \(v(x)\uparrow \infty\) as \(x\to\infty\) such that the asymptotic relation \(P(S_n>x)\sim\sum^n_{k=1}P(c_kX_k>x)\) holds uniformly for all weights \(c_k\), \(1\leq k\leq n\), taking values from this interval.
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