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

DOI10.1017/S0269964818000414MaRDI QIDQ5050872OpenAlexFDO

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

zbMATH Keywords

copulaasymptoticsextended regular variationbidimensional randomly weighted sums

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Approximation of the tail probability of randomly weighted sums and applications
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• Asymptotics for Weighted Random Sums
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Estimates for the finite-time ruin probability with insurance and financial risks
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On joint ruin probabilities of a two-dimensional risk model with constant interest rate
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• On the maximum of randomly weighted sums with regularly varying tails
• On the ruin probabilities of a bidimensional perturbed risk model
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Ruin probabilities of a bidimensional risk model with investment
• Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
• Subexponentiality of the product of independent random variables
• Tail behavior of randomly weighted sums
• 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
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory

Cited in

(6)

• Efficient simulation of tail probabilities of sums of dependent random variables
• Uniform approximation for the tail behavior of bidimensional randomly weighted sums
• scientific article; zbMATH DE number 714488 (Why is no real title available?)
• scientific article; zbMATH DE number 5226480 (Why is no real title available?)
• 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

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