Tail Behavior of Randomly Weighted Sums

DOI10.1239/aap/1346955265zbMath1264.60036arXiv1011.4349OpenAlexW3105681764MaRDI QIDQ3167339

Krishanu Maulik, Rajat Subhra Hazra

Publication date: 2 November 2012

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.4349

zbMATH Keywords

regular variationasymptotic independenceheavy tailsubexponentialproduct of random variablesBreiman's theorem

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (17)

APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS ⋮ Ruin probabilities under Sarmanov dependence structure ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ A note on randomly weighted sums of dependent subexponential random variables ⋮ Randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ On the joint tail behavior of randomly weighted sums of heavy-tailed random variables ⋮ A quasi-Bayesian change point detection with exchangeable weights ⋮ Randomly weighted sums of dependent random variables with dominated variation ⋮ Externalities in the M/G/1 queue: LCFS-PR versus FCFS ⋮ Conditional tail expectation of randomly weighted sums with heavy-tailed distributions ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Randomly weighted sums of subexponential random variables with application to capital allocation ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables ⋮ Asymptotics for randomly weighted and stopped dependent sums ⋮ Exact upper tail probabilities of random series

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