Weighted sums of subexponential random variables and their maxima

DOI10.1239/AAP/1118858636MaRDI QIDQ5694155zbMATH OpenOpenAlexFDO

Authors Yiqing Chen, Kai Wang Ng, Qihe Tang

Publication date 29 September 2005

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1118858636

zbMATH Keywords

discounted lossMatuszewska indexruin probabilitysubexponentialitytail probability

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

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Cited in

(23)

• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• On random coefficient INAR(1) processes
• Approximations of the cumulative distribution function for infinite weighted sum of random variables
• Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
• On the maximum of randomly weighted sums with regularly varying tails
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
• The ruin probability of a discrete-time risk model with a one-sided linear claim process
• Tail behavior of randomly weighted sums
• Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
• On the distribution of the nearly unstable AR(1) process with heavy tails
• Randomly weighted sums of dependent subexponential random variables
• Uniform estimate for the tail probabilities of randomly weighted sums
• A note on product-convolution for generalized subexponential distributions
• On the maximum of randomly weighted sums with subexponential tails
• scientific article; zbMATH DE number 2202013 (Why is no real title available?)
• scientific article; zbMATH DE number 6288723 (Why is no real title available?)
• Exact asymptotic behaviour of the distribution of the supremum
• Tail bounds for sums of independent two-sided exponential random variables
• The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails
• Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Ruin probability in a one-sided linear model with constant interest rate
• Approximation for the ruin probabilities in a discrete time risk model with dependent risks

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