Asymptotics for randomly weighted and stopped dependent sums

DOI10.1080/17442508.2015.1052812zbMATH Open1338.62065OpenAlexW2291001865MaRDI QIDQ2804547FDOQ2804547

Remigijus Leipus, Jonas Šiaulys, Yang Yang

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1052812

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zbMATH Keywords

dominated variationasymptotic tail probabilityrandom-time ruin probabilitybivariate upper tail independenceextended negative upper orthant dependencerandomly weighted and stopped sums

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (16)

• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• A Kesten-type bound for sums of randomly weighted subexponential random variables
• A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*
• Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
• Tails of higher-order moments with dominatedly varying summands
• On closeness of two discrete weighted sums
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
• Uniform approximation for the tail behavior of bidimensional randomly weighted sums
• A note on the tail behavior of randomly weighted and stopped dependent sums
• A note on the asymptotics for the randomly stopped weighted sums
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Title not available (Why is that?)
• Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses
• Asymptotics for Weighted Random Sums

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