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scientific article; zbMATH DE number 6958471

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 6958471

Statements

scholarly article

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zbMATH Open document ID

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10.4134/JKMS.j160753

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Remigijus Leipus

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publication date

18 October 2018

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

randomly weighted sum

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long-tail distribution

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copula

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FGM copula

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MaRDI profile type

MaRDI publication profile

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Extremes on the discounted aggregate claims in a time dependent risk model

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On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications

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The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance

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Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation

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Convolutions of Long-Tailed and Subexponential Distributions

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Randomly weighted sums with dominated varying-tailed increments and application to risk theory

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Tail behavior of negatively associated heavy-tailed sums

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Asymptotic tail probabilities of sums of dependent subexponential random variables

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Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

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The finite-time ruin probability for ND claims with constant interest force

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On the non-closure under convolution of the subexponential family

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On pairwise quasi-asymptotically independent random variables and their applications

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Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model

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Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims

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A note on a dependent risk model with constant interest rate

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Maxima of Sums of Heavy-Tailed Random Variables

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Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.

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Randomly weighted sums of subexponential random variables with application to ruin theory

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Randomly weighted sums of subexponential random variables with application to capital allocation

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Randomly weighted sums of dependent subexponential random variables

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Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

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Ratio of the tail of an infinitely divisible distribution on the line to that of its Lévy measure

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Convolution and convolution-root properties of long-tailed distributions

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Tail probability of randomly weighted sums of subexponential random variables under a dependence structure

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Closure property and maximum of randomly weighted sums with heavy-tailed increments

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Uniform asymptotics for the tail probability of weighted sums with heavy tails

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The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables

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Mathematics(1 entry)

mardi Publication:4691162

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