A note on the tail behavior of randomly weighted and stopped dependent sums

DOI10.15388/NA.2015.2.8MaRDI QIDQ4968012zbMATH OpenOpenAlexFDO

Authors Lina Dindienė, Remigijus Leipus

Publication date 12 July 2019

Published in Nonlinear Analysis: Modelling and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15388/na.2015.2.8

zbMATH Keywords

asymptotic tail probabilityextended negative dependenceheavy tails

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic processes (60G99)

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Cites work

• A property of longtailed distributions
• Asymptotics for randomly weighted and stopped dependent sums
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• Asymptotics for Weighted Random Sums
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• Asymptotics of randomly stopped sums in the presence of heavy tails
• Closure of some heavy-tailed distribution classes under random convolution
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• scientific article; zbMATH DE number 3798860 (Why is no real title available?)
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• Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
• Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
• The strong law of large numbers for extended negatively dependent random variables

Cited in

(8)

• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Bounds for the Clayton copula
• A note on the asymptotics for the randomly stopped weighted sums
• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• Tails of Stopped Random Products: The Factoid and Some Relatives
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Positively decreasing and related distributions under dependence
• The tail behavior of randomly weighted sums of dependent random variables

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