Approximation of the tail probability of randomly weighted sums and applications

DOI10.1016/J.SPA.2008.03.004zbMATH Open1271.62030OpenAlexW2169518223MaRDI QIDQ1004411FDOQ1004411

Authors: Yi Zhang, Chengguo Weng, Xinmei Shen 

Publication date: 10 March 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.03.004

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zbMATH Keywords

asymptoticsregular variationruin probabilitystochastic difference equationsupper tail dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20)

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Cited In (89)

• The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
• Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
• Randomly weighted sums of dependent subexponential random variables
• Asymptotic behaviour of the probability-weighted moments and penultimate approximation
• Risk measures and multivariate extensions of Breiman's theorem
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails
• Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
• Randomly weighted sums of dependent random variables with dominated variation
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
• Asymptotics for randomly weighted and stopped dependent sums
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
• Approximation of Tail Probabilities Using theG_n-Transform
• Tail behavior of the sums of dependent and heavy-tailed random variables
• Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
• Tail behavior of the product of two dependent random variables with applications to risk theory
• Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
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• Risk- and value-based management for non-life insurers under solvency constraints
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• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
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• Closure properties of the second-order regular variation under convolutions
• Approximation for the ruin probabilities in a discrete time risk model with dependent risks
• Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation
• On closeness of two discrete weighted sums
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• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• Approximation of the tail probability of dependent random sums under consistent variation and applications
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• A ratio limit theorem for the tails of weighted sums
• Tail behavior of randomly weighted sums
• Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Exact upper tail probabilities of random series
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• Interplay of financial and insurance risks in dependent discrete-time risk models
• Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
• Asymptotics for a discrete-time risk model with the emphasis on financial risk
• The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• A necessary and sufficient condition for the subexponentiality of the product convolution
• Asymptotics for Weighted Random Sums
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
• A Kesten-type bound for sums of randomly weighted subexponential random variables
• Bivariate regular variation among randomly weighted sums in general insurance
• A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*
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• A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
• Approximations for the probability in the tails of the binomial distribution (Corresp.)
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
• Asymptotics for systemic risk with dependent heavy-tailed losses
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• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
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• Multivariate risk models under heavy-tailed risks

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