A note on randomly weighted sums of dependent subexponential random variables

DOI10.1007/S11401-020-0209-6MaRDI QIDQ2181707zbMATH OpenOpenAlexFDO

Authors Fengyang Cheng

Publication date 19 May 2020

Published in Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11401-020-0209-6

zbMATH Keywords

ruin probabilitiesrandomly weighted sumssubexponential distributionsinsurance and financial risks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Strong limit theorems (60F15)

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Cites work

• An introduction to heavy-tailed and subexponential distributions
• Approximation of the tail probability of randomly weighted sums and applications
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Asymptotic tail behavior of a random sum with conditionally dependent subexponential summands
• Properties and applications of the sarmanov family of bivariate distributions
• Randomly weighted sums of dependent random variables with dominated variation
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Subexponentiality of the product of independent random variables
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• Tail behavior of randomly weighted sums
• Tail behavior of the sums of dependent and heavy-tailed random variables
• The product distribution of dependent random variables with applications to a discrete-time risk model
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory

Cited in

(5)

• Randomly weighted sums of dependent subexponential random variables
• Weighted sums of subexponential random variables and their maxima
• Uniform approximation of the tail probability of weighted sums of subexponential random variables
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory

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