A note on weighted infinite sums of dependent regularly varying tailed random variables

DOI10.1016/j.jkss.2016.11.002zbMath1368.91112OpenAlexW2560115649MaRDI QIDQ2398402

Bangwon Ko, Taehan Bae

Publication date: 16 August 2017

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

Full work available at URL: https://doi.org/10.1016/j.jkss.2016.11.002

zbMATH Keywords

asymptoticsregular variationheavy tailstail probabilitiesdependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (3)

Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables ⋮ Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

Cites Work

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• Precise large deviations of random sums in presence of negative dependence and consistent variation
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Precise large deviations for dependent random variables with heavy tails
• Maxima of sums and random sums for negatively associated random variables with heavy tails
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Tail behavior of negatively associated heavy-tailed sums
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails

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