Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation
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Cites work
- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
- Dependence and the asymptotic behavior of large claims reinsurance
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Extremes on the discounted aggregate claims in a time dependent risk model
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
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- scientific article; zbMATH DE number 6288723 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Randomly weighted sums of subexponential random variables with application to ruin theory
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
- The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
- The subexponentiality of products revisited
Cited in
(11)- Tails of higher-order moments with dominatedly varying summands
- Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
- Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
- Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
- Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
- Randomly weighted sums of dependent subexponential random variables with applications to risk theory
- Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
- Generalized moments of sums with heavy-tailed random summands
- Randomly weighted sums of dependent subexponential random variables with application to systemic risk
- Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
- The tail behavior of randomly weighted sums of dependent random variables
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