Moving averages with random coefficients and random coefficient autoregressive models
From MaRDI portal
Publication:3987848
DOI10.1080/15326349108807204zbMath0747.60062OpenAlexW2155928249MaRDI QIDQ3987848
Eric Willekens, Sidney I. Resnick
Publication date: 28 June 1992
Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349108807204
Related Items (49)
Tail Behavior of Randomly Weighted Sums ⋮ On normal approximation of discounted and strongly mixing random variables ⋮ Ruin probabilities under Sarmanov dependence structure ⋮ Regular Variation of Infinite Series of Processes with Random Coefficients ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims ⋮ Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims ⋮ Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns ⋮ Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims ⋮ Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Uniform approximation for the tail behavior of bidimensional randomly weighted sums ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Multivariate linear recursions with Markov-dependent coefficients ⋮ Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ Extremes and products of multivariate AC-product risks ⋮ On extremal behavior of aggregation of largest claims ⋮ Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems ⋮ Multivariate Markov-switching ARMA processes with regularly varying noise ⋮ Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments ⋮ The impact on ruin probabilities of the association structure among financial risks ⋮ Asymptotics for Weighted Random Sums ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains ⋮ Tail behavior of a threshold autoregressive stochastic volatility model ⋮ Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation ⋮ The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance ⋮ On the maximum of randomly weighted sums with regularly varying tails ⋮ Large portfolio losses in a turbulent market ⋮ Estimating the multivariate extremal index function ⋮ Tail probabilities for infinite series of regularly varying random vectors ⋮ Approximation of the tail probability of randomly weighted sums and applications ⋮ Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models ⋮ Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation ⋮ Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims ⋮ Regularly varying multivariate time series ⋮ Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation ⋮ Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise ⋮ Bivariate regular variation among randomly weighted sums in general insurance ⋮ Uniform estimate for maximum of randomly weighted sums with applications to ruin theory ⋮ General inverse problems for regular variation ⋮ Hidden regular variation of moving average processes with heavy-tailed innovations ⋮ Tail index estimation for dependent data ⋮ Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations ⋮ Joint extremal behavior of hidden and observable time series with applications to GARCH processes ⋮ Exact upper tail probabilities of random series
This page was built for publication: Moving averages with random coefficients and random coefficient autoregressive models