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

DOI10.3969/J.ISSN.1001-4268.2019.01.003MaRDI QIDQ5198280zbMATHFDO

Authors

Publication date 2 October 2019

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)

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Cited in

(9)

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

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