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

DOI10.1016/J.JMAA.2015.06.056MaRDI QIDQ495183zbMATH OpenOpenAlexFDO

Authors 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

• scientific article; zbMATH DE number 3798860 (Why is no real title available?)
• Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
• Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
• Asymptotics of randomly stopped sums in the presence of heavy tails
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• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Large deviations for heavy-tailed random sums in compound renewal model
• Modeling teletraffic arrivals by a Poisson cluster process
• Precise large deviations for dependent random variables with heavy tails
• Regular variation of the tail of a subordinated probability distribution
• Some concepts of negative dependence
• Tail behavior of random sums of negatively associated increments
• Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
• Tails of random sums of a heavy-tailed number of light-tailed terms
• The strong law of large numbers for extended negatively dependent random variables
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

Cited in

(3)

• Asymptotics for the sum-ruin probability of a bi-dimensional compound risk model with dependent numbers of claims
• 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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