The product distribution of dependent random variables with applications to a discrete-time risk model

DOI10.1080/03610926.2018.1476705OpenAlexW2922135472MaRDI QIDQ5866071FDOQ5866071

Authors: Jikun Chen, Hui Xu, Fengyang Cheng 

Publication date: 10 June 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.03651

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zbMATH Keywords

dependent random variablesrisk modelfinite-time ruin probabilitysubexponential distributionlong-tailed distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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Cited In (5)

• Tail behavior of the product of two dependent random variables with applications to risk theory
• Revisiting the product of random variables
• Multivariate discrete distributions with a product-type dependence
• A note on randomly weighted sums of dependent subexponential random variables
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures

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