Randomly weighted sums of subexponential random variables with application to ruin theory
From MaRDI portal
Publication:1880889
DOI10.1023/B:EXTR.0000031178.19509.57zbMath1049.62017OpenAlexW2090302069MaRDI QIDQ1880889
Qi-he Tang, G. Sh. Tsitsiashvili
Publication date: 24 September 2004
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:extr.0000031178.19509.57
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (86)
Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation ⋮ Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims ⋮ The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process ⋮ A note on product-convolution for generalized subexponential distributions ⋮ Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims ⋮ Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS ⋮ APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS ⋮ Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims ⋮ Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory ⋮ Unnamed Item ⋮ The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force ⋮ The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Uniform asymptotics for the compound risk model with dependence structures and constant force of interest ⋮ A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ A note on randomly weighted sums of dependent subexponential random variables ⋮ Randomly weighted sums of dependent subexponential random variables ⋮ Randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Randomly weighted sums of dependent random variables with dominated variation ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ Conditional tail expectation of randomly weighted sums with heavy-tailed distributions ⋮ Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims ⋮ Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims ⋮ Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Asymptotic behavior of product of two heavy-tailed dependent random variables ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Uniform approximation for the tail behavior of bidimensional randomly weighted sums ⋮ On the ruin probability in a dependent discrete time risk model with insurance and financial risks ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims ⋮ Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices ⋮ Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation ⋮ The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails ⋮ Tail probability of randomly weighted sums of subexponential random variables under a dependence structure ⋮ Closure properties of the second-order regular variation under convolutions ⋮ Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails ⋮ The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims ⋮ Uniform asymptotics for the tail probability of weighted sums with heavy tails ⋮ Closure property and maximum of randomly weighted sums with heavy-tailed increments ⋮ Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force ⋮ Randomly weighted sums of subexponential random variables with application to capital allocation ⋮ A uniform asymptotic estimate for discounted aggregate claims with subexponential tails ⋮ The subexponentiality of products revisited ⋮ The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks ⋮ Asymptotics for Weighted Random Sums ⋮ The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables ⋮ Precise large deviations for randomly weighted sums of negatively dependent random variables with consistently varying tails ⋮ Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims ⋮ Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest ⋮ Ruin probability in a one-sided linear model with constant interest rate ⋮ Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions ⋮ A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization ⋮ Asymptotics of discounted aggregate claims for renewal risk model with risky investment ⋮ A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables ⋮ On the maximum of randomly weighted sums with regularly varying tails ⋮ Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model ⋮ Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate ⋮ Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities ⋮ Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims ⋮ Tail behavior of the sums of dependent and heavy-tailed random variables ⋮ Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables ⋮ The finite-time ruin probability of the compound Poisson model with constant interest force ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Asymptotics for randomly weighted and stopped dependent sums ⋮ Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models ⋮ Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation ⋮ Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model ⋮ Sums of Dependent Nonnegative Random Variables with Subexponential Tails ⋮ Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process ⋮ Limiting behavior of randomly weighted averages of symmetric heavy-tailed random variables ⋮ Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation ⋮ Uniform approximation of the tail probability of weighted sums of subexponential random variables ⋮ Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples ⋮ Bivariate regular variation among randomly weighted sums in general insurance ⋮ Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
This page was built for publication: Randomly weighted sums of subexponential random variables with application to ruin theory
