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

DOI10.1007/S10986-017-9348-1MaRDI QIDQ2627903zbMATH OpenOpenAlexFDO

Authors 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

discrete-time risk modeldominated variationfinite-time ruin probabilitylong tailpairwise asymptotical independencepairwise upper extended negative dependence

Mathematics Subject Classification ID

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

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Cites work

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• Negative association of random variables, with applications
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• Ruin problems with assets and liabilities of diffusion type
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• Subexponentiality of the product of independent random variables
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Weak max-sum equivalence for dependent heavy-tailed random variables

Cited in

(7)

• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• A lower bound for the tail probability of partial maxima of dependent random variables and applications
• Ruin probability for the bi-seasonal discrete time risk model with dependent claims
• Maximum of partial sums and an invariance principle for a class of weak dependent random variables
• The influence of sample extremes on the maximum of partial sums of independent random variables
• Asymptotics for a class of dependent random variables
• Limiting behavior of the maximum of the partial sum for asymptotically negatively associated random variables under residual Cesáro alpha-integrability assumption

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