Uniform estimate for the tail probabilities of randomly weighted sums

DOI10.1007/S10255-014-0446-0zbMATH Open1305.62085OpenAlexW2016304756MaRDI QIDQ477566FDOQ477566

Authors: Yin-Feng Wang, Chuancun Yin, Xinsheng Zhang 

Publication date: 9 December 2014

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-014-0446-0

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zbMATH Keywords

uniform estimaterandomly weighted sumsclass \(\mathcal{D} \cap \mathcal{L}\)upper tail asymptotically independence

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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• 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.
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• Subexponentiality of the product of independent random variables
• Approximation of the tail probability of randomly weighted sums and applications
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• Weighted sums of subexponential random variables and their maxima
• Approximation for the ruin probabilities in a discrete time risk model with dependent risks

Cited In (15)

• The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• Tail probability of BUTI with random weight
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• Tail Estimates for Sums of Variables Sampled by a Random Walk
• Uniform approximation for the tail behavior of bidimensional randomly weighted sums
• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
• Uniform asymptotics for the tail probability of weighted sums with heavy tails
• A quasi-Bayesian change point detection with exchangeable weights
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• Conditions for the uniformly tail-asymptotic relationship of the weighted sum of random variables with heavy tails
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
• Uniform estimates for distributions of the sum of i.i.d. random variables with fat tail in the threshold case
• Weighted uniform densities
• Approximation of the tail probability of randomly weighted sums and applications

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