Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation

DOI10.1016/J.JMAA.2010.10.020MaRDI QIDQ624593zbMATH OpenOpenAlexFDO

Authors Lan Yi, Yu Chen, Chun Su

Publication date 9 February 2011

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2010.10.020

zbMATH Keywords

tail probabilityasymptoticquasi-asymptotic independencerandomly weighted sumdominatedly-varying tail

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Distribution theory (60E99)

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Cited in

(63)

• Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
• The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
• Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
• Input-output consistency in integrate and fire interconnected neurons
• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
• Randomly weighted sums of dependent random variables with dominated variation
• Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Asymptotics for randomly weighted and stopped dependent sums
• A Kesten-type bound for sums of randomly weighted subexponential random variables
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
• Tail behavior of the product of two dependent random variables with applications to risk theory
• A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
• Tails of higher-order moments with dominatedly varying summands
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• Tail probability of BUTI with random weight
• Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
• A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• Risk- and value-based management for non-life insurers under solvency constraints
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• The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
• On closeness of two discrete weighted sums
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Generalized moments of sums with heavy-tailed random summands
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• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Ruin probabilities with insurance and financial risks having an FGM dependence structure
• Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
• Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
• Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
• Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
• Randomly weighted sums of pairwise quasi upper-tail independent increments with application to risk theory
• Max-sum equivalence of conditionally dependent random variables
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
• A note on randomly weighted sums of dependent subexponential random variables
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• The tail behavior of randomly weighted sums of dependent random variables
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Interplay of financial and insurance risks in dependent discrete-time risk models
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
• The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks
• Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Approximations of the tail probability of the product of dependent extremal random variables and applications

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