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

DOI10.1155/2013/273217zbMATH Open1291.91135OpenAlexW1973760215WikidataQ58915765 ScholiaQ58915765MaRDI QIDQ2015296FDOQ2015296

Yulin Zhang, Yang Yang, Junfeng Liu

Publication date: 23 June 2014

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

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

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Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Cites Work

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

Cited In (3)

• Title not available (Why is that?)
• Title not available (Why is that?)
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications

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