Subexponentiality of the product of dependent random variables

DOI10.1016/J.SPL.2013.05.017MaRDI QIDQ2637372zbMATH OpenOpenAlexFDO

Authors Suting Sun, Hai-Zhong Yang

Publication date 11 February 2014

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

Full work available at URL https://doi.org/10.1016/j.spl.2013.05.017

zbMATH Keywords

tail probabilityregular variationproduct

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
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• scientific article; zbMATH DE number 3238248 (Why is no real title available?)
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• On convolution equivalence with applications
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• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Subexponentiality of the product of independent random variables
• Tail behavior of the product of two dependent random variables with applications to risk theory
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• The product of two dependent random variables with regularly varying or rapidly varying tails

Cited in

(12)

• The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
• Revisiting the product of random variables
• Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
• Asymptotics for the ruin probability in a proportional reinsurance risk model with dependent insurance and financial risks
• The product of two dependent random variables with regularly varying or rapidly varying tails
• The product distribution of dependent random variables with applications to a discrete-time risk model
• Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
• The subexponentiality for two widely dependent random variables under the operations of minimum and maximum
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Asymptotic behavior of product of two heavy-tailed dependent random variables
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks

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