Randomly weighted sums of dependent random variables with dominated variation

DOI10.1016/j.jmaa.2014.06.048zbMath1415.60055OpenAlexW2082988731MaRDI QIDQ401104

Dong Ya Cheng

Publication date: 26 August 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.06.048

zbMATH Keywords

dominated variationrandomly weighted sumsasymptotically lower boundasymptotically upper boundpairwise asymptotic independence

Mathematics Subject Classification ID

Related Items (16)

Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ A note on randomly weighted sums of dependent subexponential random variables ⋮ Randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Generalized moments of sums with heavy-tailed random summands ⋮ Conditional tail expectation of randomly weighted sums with heavy-tailed distributions ⋮ A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails ⋮ 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 ⋮ Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables ⋮ The moment of maximum normed randomly weighted sums of martingale differences ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations

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