APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS

DOI10.1017/S0269964818000414OpenAlexW2902252698MaRDI QIDQ5050872FDOQ5050872

Authors: Mingyue Ge, Ke-Ang Fu, Xinmei Shen 

Publication date: 18 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964818000414

Recommendations

• Approximation of the tail probability of randomly weighted sums and applications
• Uniform approximation for the tail behavior of bidimensional randomly weighted sums
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• Asymptotics for randomly weighted and stopped dependent sums
• Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails

zbMATH Keywords

copulaasymptoticsextended regular variationbidimensional randomly weighted sums

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• On joint ruin probabilities of a two-dimensional risk model with constant interest rate
• Ruin probabilities of a bidimensional risk model with investment
• On the ruin probabilities of a bidimensional perturbed risk model
• Subexponentiality of the product of independent random variables
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Tail behavior of randomly weighted sums
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Approximation of the tail probability of randomly weighted sums and applications
• Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• Asymptotics for Weighted Random Sums
• Estimates for the finite-time ruin probability with insurance and financial risks
• On the maximum of randomly weighted sums with regularly varying tails
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

Cited In (6)

• Efficient simulation of tail probabilities of sums of dependent random variables
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
• Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
• Title not available (Why is that?)
• Uniform approximation for the tail behavior of bidimensional randomly weighted sums
• Title not available (Why is that?)

This page was built for publication: APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5050872)