Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory

DOI10.1007/S42952-019-00031-XzbMATH Open1484.62026OpenAlexW2999739744MaRDI QIDQ2131925FDOQ2131925

Xijun Liu, Qingwu Gao

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-019-00031-x

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zbMATH Keywords

conditional dependenceruin probabilityweak asymptoticsrandomly weighted sumdominant variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (5)

• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• Uniform asymptotics for a renewal risk model with a random number of delayed claims
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures

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