Randomly weighted sums of dependent subexponential random variables with applications to risk theory
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Publication:4585942
DOI10.1080/03461238.2017.1329160zbMath1396.62021OpenAlexW2618324891MaRDI QIDQ4585942
Publication date: 11 September 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2017.1329160
subexponential distributionsruin probabilitiesconditional dependencerandomly weighted sumsinsurance and financial risks
Related Items (13)
Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims ⋮ The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations ⋮ A note on randomly weighted sums of dependent subexponential random variables ⋮ A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ 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
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