Tail behavior of the sums of dependent and heavy-tailed random variables
From MaRDI portal
Publication:2513787
DOI10.1016/j.jkss.2014.04.002zbMath1311.62019OpenAlexW2089435441MaRDI QIDQ2513787
Chang Jun Yu, Dong Ya Cheng, Yue-bao Wang
Publication date: 29 January 2015
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.2014.04.002
asymptotic behaviorrandom sumspartial sumsruin probabilityweighted sumsdependence structuressubexponential\(^\ast\) distributions
Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70)
Related Items (5)
Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims ⋮ A note on randomly weighted sums of dependent subexponential random variables ⋮ Randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A note on a dependent risk model with constant interest rate
- Tail asymptotics for the supremum of a random walk when the mean is not finite
- Basic renewal theorems for random walks with widely dependent increments
- Bivariate extreme statistics. I
- The full solution of the convolution closure problem for convolution- equivalent distributions
- An introduction to copulas.
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Asymptotics of sums of lognormal random variables with Gaussian copula
- The finite-time ruin probability for ND claims with constant interest force
- Approximation of the tail probability of randomly weighted sums and applications
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Normal fluctuations and the FKG inequalities
- Degeneracy properties of subcritical branching processes
- Subexponential distributions and characterizations of related classes
- Functions of probability measures
- Negative association of random variables, with applications
- Randomly weighted sums of subexponential random variables with application to ruin theory
- Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
- The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
- Max-sum equivalence of conditionally dependent random variables
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Characterizations and examples of hidden regular variation
- Randomly weighted sums with dominated varying-tailed increments and application to risk theory
- One-sided analogues of Karamata's regular variation
- Infinite divisibility and generalized subexponentiality
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- On Sums of Conditionally Independent Subexponential Random Variables
- Tail behavior of negatively associated heavy-tailed sums
- Subexponential distributions and integrated tails
- Convolution equivalence and infinite divisibility
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
- Some Concepts of Dependence
This page was built for publication: Tail behavior of the sums of dependent and heavy-tailed random variables
