On tail behavior of randomly weighted sums of dependent subexponential random variables

DOI10.1080/03610926.2022.2107224MaRDI QIDQ6129980zbMATH OpenOpenAlexFDO

Authors Bingzhen Geng, Zaiming Liu, Shijie Wang

Publication date 18 April 2024

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2107224

zbMATH Keywords

asymptoticdependence structurerandomly weighted sumsubexponential distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(1)

• Randomly weighted sums of dependent subexponential random variables with application to systemic risk

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