Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation

DOI10.1007/S10255-009-8155-9MaRDI QIDQ2431052zbMATH OpenOpenAlexFDO

Authors Hai-Zhong Yang

Publication date 8 April 2011

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-009-8155-9

zbMATH Keywords

tail probabilitydominated variationrandomly weighted sums

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Inequalities; stochastic orderings (60E15)

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Cites work

• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Approximation of the tail probability of randomly weighted sums and applications
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• 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 subexponential random variables with application to ruin theory
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Cited in

(15)

• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• The tail behavior of randomly weighted sums of dependent random variables
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• A note on weighted infinite sums of dependent regularly varying tailed random variables
• 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
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
• 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
• Tails of higher-order moments with dominatedly varying summands
• Randomly weighted sums of dependent random variables with dominated variation
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Tail probability of BUTI with random weight

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