A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables

DOI10.1155/2013/273217MaRDI QIDQ2015296zbMATH OpenOpenAlexWikidataFDO

Authors Yang Yang, Junfeng Liu, Yulin Zhang

Publication date 23 June 2014

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/273217

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• An Introduction to Heavy-Tailed and Subexponential Distributions
• Approximation of the tail probability of randomly weighted sums and applications
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Asymptotics of random contractions
• Convolution equivalence and infinite divisibility
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Extremes and products of multivariate AC-product risks
• Finite time ruin probability with heavy-tailed insurance and financial risks
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• From light tails to heavy tails through multiplier
• On convolution equivalence with applications
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Ruin problems with assets and liabilities of diffusion type
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Tail behavior of the product of two dependent random variables with applications to risk theory
• Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
• The subexponentiality of products revisited
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory

Cited in

(5)

• Bivariate regular variation among randomly weighted sums in general insurance
• scientific article; zbMATH DE number 6288723 (Why is no real title available?)
• scientific article; zbMATH DE number 5794108 (Why is no real title available?)
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Asymptotics of random contractions

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