Asymptotics for randomly weighted and stopped dependent sums
From MaRDI portal
Publication:2804547
DOI10.1080/17442508.2015.1052812zbMath1338.62065OpenAlexW2291001865MaRDI QIDQ2804547
Remigijus Leipus, Yang Yang, Jonas Šiaulys
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
dominated variationasymptotic tail probabilityrandom-time ruin probabilitybivariate upper tail independenceextended negative upper orthant dependencerandomly weighted and stopped sums
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Asymptotic risk decomposition for regularly varying distributions with tail dependence, On closeness of two discrete weighted sums, Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure, A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*, Uniform approximation for the tail behavior of bidimensional randomly weighted sums, Expectation of the truncated randomly weighted sums with dominatedly varying summands, Tails of higher-order moments with dominatedly varying summands, A Kesten-type bound for sums of randomly weighted subexponential random variables, A note on the tail behavior of randomly weighted and stopped dependent sums, A note on the asymptotics for the randomly stopped weighted sums, Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples, Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
Cites Work
- Uniform asymptotics of the finite-time ruin probability for all times
- On the ruin probability in a dependent discrete time risk model with insurance and financial risks
- A note on a dependent risk model with constant interest rate
- Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes
- Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
- Estimates for the finite-time ruin probability with insurance and financial risks
- Bivariate extreme statistics. I
- Tail behavior of the product of two dependent random variables with applications to risk theory
- Approximation of the tail probability of randomly weighted sums and applications
- Precise large deviations for dependent random variables with heavy tails
- Some concepts of negative dependence
- Subexponentiality of the product of independent random variables
- 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
- Random time ruin probability for the renewal risk model with heavy-tailed claims
- Randomly weighted sums with dominated varying-tailed increments and application to risk theory
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Asymptotic Behavior of Random Time Ruin Probability Under Heavy-Tailed Claim Sizes and Dependence Structure
- The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables
- Information ranking and power laws on trees
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- Tail Behavior of Randomly Weighted Sums
- Asymptotic analysis for personalized Web search
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Asymptotics for Weighted Random Sums
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
