Randomly weighted sums of dependent subexponential random variables

DOI10.1007/S10986-011-9149-XzbMATH Open1322.60076OpenAlexW2016369032MaRDI QIDQ392984FDOQ392984

Authors: Kaiyong Wang 

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-011-9149-x

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zbMATH Keywords

asymptoticsdependencesubexponentialityrandomly weighted sums

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Title not available (Why is that?)
• 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.
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Title not available (Why is that?)
• Approximation of the tail probability of randomly weighted sums and applications
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Ruin probability and local ruin probability in the random multi-delayed renewal risk model
• 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
• Weighted sums of subexponential random variables and their maxima

Cited In (19)

• Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
• Weighted sums of subexponential random variables and their maxima
• Randomly weighted sums of dependent random variables with dominated variation
• Randomly weighted sums of subexponential random variables with application to capital allocation
• 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*
• Tails of higher-order moments with dominatedly varying summands
• On the maximum of randomly weighted sums with subexponential tails
• Generalized moments of sums with heavy-tailed random summands
• On closeness of two discrete weighted sums
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
• Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
• Closure property and tail probability asymptotics for randomly weighted sums of dependent random variables with heavy tails
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• A note on randomly weighted sums of dependent subexponential random variables
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

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