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

DOI10.1016/J.JKSS.2016.11.002MaRDI QIDQ2398402zbMATH OpenOpenAlexFDO

Authors Taehan Bae, Bangwon Ko

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

asymptoticsdependenceheavy tailsregular variationtail probabilities

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• 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.
• Precise large deviations for dependent random variables with heavy tails
• 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
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• Tail behavior of negatively associated heavy-tailed sums

Cited in

(4)

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

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