Subexponentiality of the product of dependent random variables

DOI10.1016/J.SPL.2013.05.017zbMATH Open1279.62037OpenAlexW2062287137MaRDI QIDQ2637372FDOQ2637372

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

Recommendations

• The product of two dependent random variables with regularly varying or rapidly varying tails
• Asymptotic behavior of product of two heavy-tailed dependent random variables
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• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• Revisiting the product of random variables

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)

Cites Work

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• On convolution equivalence with applications
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• The product of two dependent random variables with regularly varying or rapidly varying tails
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• On the behavior of the product of independent random variables
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Cited In (8)

• 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
• 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
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks

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