Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

DOI10.1007/S10986-021-09546-5MaRDI QIDQ2113622zbMATHOpenAlexFDO

Authors Huan Qian, Bingzhen Geng, Shijie Wang

Publication date 14 March 2022

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-021-09546-5

zbMATH Keywords

tail probabilitydependence structurerandomly weighted sumstrong subexponential distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Randomly weighted sums of dependent subexponential random variables
• Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
• Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• On the maximum of randomly weighted sums with subexponential tails

Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A Kesten-type bound for sums of randomly weighted subexponential random variables
• 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 for randomly weighted and stopped dependent sums
• Bivariate regular variation among randomly weighted sums in general insurance
• Closure property and maximum of randomly weighted sums with heavy-tailed increments
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• On the maximum of randomly weighted sums with regularly varying tails
• 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 dependent random variables with dominated variation
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Tail behavior of the sums of dependent and heavy-tailed random variables
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
• The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims

Cited in

(18)

• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
• Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
• Randomly weighted sums of dependent subexponential random variables
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• A note on randomly weighted sums of dependent subexponential random variables
• On the maximum of randomly weighted sums with subexponential tails
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• A note on the tail behavior of randomly weighted and stopped dependent sums
• On the non-closure under convolution for strong subexponential distributions
• Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails
• Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation
• Approximation of the tail probability of randomly weighted sums and applications
• Closure property and tail probability asymptotics for randomly weighted sums of dependent random variables with heavy tails
• Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
• Tail behavior of sums and maxima of sums of dependent subexponential random variables
• Uniform estimate for the tail probabilities of randomly weighted sums

This page was built for publication: Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2113622)