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

DOI10.1080/15326340600649029MaRDI QIDQ5478907zbMATH OpenOpenAlexFDO

Authors Dingcheng Wang, Qihe Tang

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

heavy tailruin probability

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Moving averages with random coefficients and random coefficient autoregressive models
• On the ruin probabilities in a general economic environment
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Ruin probabilities with dependent rates of interest
• Subexponentiality of the product of independent random variables
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Cited in

(90)

• Tail probabilities for infinite series of regularly varying random vectors
• Approximation of the tail probability of randomly weighted sums and applications
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Rates in approximations to ruin probabilities for heavy-tailed distributions
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables
• Weighted sums for i. i. d. random variables with relatively thin tails
• A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
• Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• Bivariate regular variation among randomly weighted sums in general insurance
• Exact upper tail probabilities of random series
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
• Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
• Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• The supremum of random walk with negatively associated and heavy-tailed steps
• A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
• On pairwise quasi-asymptotically independent random variables and their applications
• Asymptotics for ratios with applications to reinsurance
• Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims
• Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
• Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims
• Asymptotics for randomly weighted and stopped dependent sums
• Risk measures and multivariate extensions of Breiman's theorem
• Closure properties of the second-order regular variation under convolutions
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
• Tail behavior of randomly weighted sums
• Regularly distributed randomly stopped sum, minimum, and maximum
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• Tail Estimates for Sums of Variables Sampled by a Random Walk
• On the asymptotic ruin probability with some specific stochastic discount factors
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• Aggregation of rapidly varying risks and asymptotic independence
• Randomly weighted sums of dependent subexponential random variables
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• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
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• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Uniform asymptotics for the tail probability of weighted sums with heavy tails
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Asymptotics for Weighted Random Sums
• Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
• A note on the asymptotics for the randomly stopped weighted sums
• Second-order properties of tail probabilities of sums and randomly weighted sums
• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
• Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
• The limit property of a risk model based on entrance processes
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
• Hidden regular variation of moving average processes with heavy-tailed innovations
• The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks
• Asymptotics for a type of randomly weighted sums and its application
• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Generalized moments of sums with heavy-tailed random summands
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
• Uniform approximation for the tail behavior of bidimensional randomly weighted sums
• Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Asymptotics of random contractions
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• The finite-time ruin probabilities of a renewal risk model with arbitrarily dependent insurance and financial risks caused by systematic factors
• On the joint tail behavior of randomly weighted sums of dependent random variables with applications to risk theory
• Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
• A Breiman's theorem for a conditional dependent random vector and its applications to risk theory
• Asymptotic estimates for systemic risk with dependent heavy-tailed losses
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums of dependent and heavy-tailed random variables
• Estimates for systemic risk measures in the presence of heavy tails
• Randomly weighted sums of dependent subexponential random variables with application to systemic risk
• Extremes for systemic expected shortfall and marginal expected shortfall in a multivariate continuous-time risk model
• The asymptotic behavior of systemic expected shortfall and marginal expected shortfall under extreme losses
• Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
• The tail behavior of randomly weighted sums of dependent random variables
• Tail behavior of the product of two dependent random variables with applications to risk theory

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