Asymptotics for tail probabilities of the sum and its maximum of extended negatively dependent and heavy-tailed random variables

DOI10.3969/J.ISSN.1001-4268.2019.01.003zbMATH Open1438.62021MaRDI QIDQ5198280FDOQ5198280

Authors:

Publication date: 2 October 2019

Recommendations

• Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
• Asymptotics for randomly weighted and stopped dependent sums
• Maxima of sums and random sums for negatively associated random variables with heavy tails
• Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
• Tail behavior of negatively associated heavy-tailed sums

zbMATH Keywords

Monte Carlo simulationfinite-time ruin probabilitydiscrete-time risk modelextended negative dependencelong-tailed distributionconsistently varying tailed distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

Cited In (9)

• Notes on the asymptotics of tail probabilities of sums for negatively associated random variables with heavy tails
• Asymptotics for randomly weighted and stopped dependent sums
• Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
• Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
• Limiting behavior of the maximum of the partial sum for asymptotically negatively associated random variables under residual Cesáro alpha-integrability assumption
• A lower bound for the tail probability of partial maxima of dependent random variables and applications
• Asymptotics for the partial sum and its maximum of dependent random variables
• Maxima of sums and random sums for negatively associated random variables with heavy tails
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails

This page was built for publication: Asymptotics for tail probabilities of the sum and its maximum of extended negatively dependent and heavy-tailed random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5198280)