Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

DOI10.1080/15326340600649029zbMath1095.60008OpenAlexW2003751448MaRDI QIDQ5478907

Qi-he Tang, Ding Cheng Wang

Publication date: 13 July 2006

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340600649029

zbMATH Keywords

ruin probabilityheavy tail

Mathematics Subject Classification ID

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Cites Work

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• Subexponentiality of the product of independent random variables
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Ruin probabilities with dependent rates of interest
• Moving averages with random coefficients and random coefficient autoregressive models
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

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