Tail probability of a random sum with a heavy-tailed random number and dependent summands

DOI10.1016/J.JMAA.2015.06.056zbMATH OpenNoneOpenAlexW767250925MaRDI QIDQ495183FDOQ495183

Fengyang Cheng

Publication date: 9 September 2015

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.2015.06.056

zbMATH Keywords

finite-time ruin probabilityrandom sumsconsistently varying tailed distributionwidely orthant dependence

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX)

Cites Work

• Some concepts of negative dependence
• Precise large deviations for dependent random variables with heavy tails
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables
• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Title not available (Why is that?)
• Large deviations for heavy-tailed random sums in compound renewal model
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
• Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
• Regular variation of the tail of a subordinated probability distribution
• Modeling teletraffic arrivals by a Poisson cluster process
• Tails of random sums of a heavy-tailed number of light-tailed terms
• Convolutions of Long-Tailed and Subexponential Distributions
• Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
• Tail behavior of random sums of negatively associated increments

Cited In (2)

• Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
• Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks

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