Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
From MaRDI portal
Publication:1041305
DOI10.1007/s11009-008-9090-6zbMath1177.60026OpenAlexW1977739744MaRDI QIDQ1041305
Yi Zhang, Xin Mei Shen, Zheng Yan Lin
Publication date: 2 December 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-008-9090-6
Related Items (25)
APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS ⋮ Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory ⋮ Interplay of financial and insurance risks in dependent discrete-time risk models ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ A note on randomly weighted sums of dependent subexponential random variables ⋮ Randomly weighted sums of dependent subexponential random variables ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Randomly weighted sums of dependent random variables with dominated variation ⋮ Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ On the ruin probability in a dependent discrete time risk model with insurance and financial risks ⋮ Approximation of the tail probability of dependent random sums under consistent variation and applications ⋮ Tail behavior of the product of two dependent random variables with applications to risk theory ⋮ Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails ⋮ Ruin probabilities with insurance and financial risks having an FGM dependence structure ⋮ Uniform estimate for the tail probabilities of randomly weighted sums ⋮ Randomly weighted sums of subexponential random variables with application to capital allocation ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks ⋮ A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables ⋮ Approximation for the ruin probabilities in a discrete time risk model with dependent risks ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
- Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
- Some concepts of negative dependence
- Subexponentiality of the product of independent random variables
- On the ruin probabilities in a general economic environment
- Negative association of random variables, with applications
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Ruin probabilities with dependent rates of interest
- Moving averages with random coefficients and random coefficient autoregressive models
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
This page was built for publication: Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
