Tail asymptotics of random sum and maximum of log-normal risks

DOI10.1016/J.SPL.2014.01.018MaRDI QIDQ2452890zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva, Dominik Kortschak

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.4614

zbMATH Keywords

exact asymptoticsGaussian distributionlog-normal risksproduct of random variablesrisk aggregation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Abstract: In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandaypa (2008) also for the more general setup of random sums and random maximum the principle of a single big jump holds. We investigate both the log-normal sequences and some related dependence structures motivated by stationary Gaussian sequences.

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Cited in

(10)

• Extremes of randomly scaled Gumbel risks
• Efficient simulation of tail probabilities for sums of log-elliptical risks
• Second order asymptotics of aggregated log-elliptical risk
• On the tail probabilities of aggregated lognormal random fields with small noise
• Tail asymptotic of Weibull-type risks
• Asymptotic expansions for bivariate normal extremes
• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• Aggregation of randomly weighted large risks
• Asymptotics of random contractions
• The principle of a single big jump from the perspective of tail moment risk measure

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