Randomly weighted sums of pairwise quasi upper-tail independent increments with application to risk theory

DOI10.1080/03610926.2013.851234zbMATH Open1328.62082OpenAlexW2078047665MaRDI QIDQ3458129FDOQ3458129

Authors: Qingwu Gao, Na Jin 

Publication date: 8 December 2015

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.851234

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zbMATH Keywords

ruin probabilityuniform asymptoticsrandomly weighted sumsquasi upper-tail independence

Mathematics Subject Classification ID

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

Cites Work

• Some concepts of negative dependence
• Negative association of random variables, with applications
• Precise large deviations for dependent random variables with heavy tails
• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• A note on a dependent risk model with constant interest rate
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Subexponentiality of the product of independent random variables
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Approximation of the tail probability of randomly weighted sums and applications
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
• Estimates for the finite-time ruin probability with insurance and financial risks
• On the maximum of randomly weighted sums with regularly varying tails
• The supremum of random walk with negatively associated and heavy-tailed steps

Cited In (12)

• Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
• Uniform approximation for the tail behavior of bidimensional randomly weighted sums
• Uniform asymptotics for the tail probability of weighted sums with heavy tails
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Some novel results on pairwise quasi-asymptotical independence with applications to risk theory
• Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
• Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• On pairwise quasi-asymptotically independent random variables and their applications
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation

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