A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
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Summary: We investigate the tailed asymptotic behavior of the randomly weighted sums with increments with convolution-equivalent distributions. Our obtained result can be directly applied to a discrete-time insurance risk model with insurance and financial risks and derive the asymptotics for the finite-time probability of the above risk model.
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Cited in
(5)- Bivariate regular variation among randomly weighted sums in general insurance
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- scientific article; zbMATH DE number 5794108 (Why is no real title available?)
- scientific article; zbMATH DE number 6288723 (Why is no real title available?)
- Asymptotics of random contractions
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