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

DOI10.1016/J.JMAA.2010.10.020zbMATH Open1206.60039OpenAlexW2077629540MaRDI QIDQ624593FDOQ624593

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

Recommendations

• Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation
• Randomly weighted sums of dependent random variables with dominated variation
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails
• Approximation of the tail probability of randomly weighted sums and applications

zbMATH Keywords

tail probabilityasymptoticquasi-asymptotic independencerandomly weighted sumdominatedly-varying tail

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• 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
• Moving averages with random coefficients and random coefficient autoregressive models
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Title not available (Why is that?)
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Approximation of the tail probability of randomly weighted sums and applications
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
• Finite time ruin probability with heavy-tailed insurance and financial risks
• On the maximum of randomly weighted sums with regularly varying tails

Cited In (63)

• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
• A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*
• Tail probability of BUTI with random weight
• Generalized moments of sums with heavy-tailed random summands
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
• The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
• Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
• 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
• Input-output consistency in integrate and fire interconnected neurons
• Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails
• Randomly weighted sums of dependent random variables with dominated variation
• Asymptotics for randomly weighted and stopped dependent sums
• Randomly weighted sums of subexponential random variables with application to capital allocation
• 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
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
• Tail behavior of the product of two dependent random variables with applications to risk theory
• 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
• Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
• Risk- and value-based management for non-life insurers under solvency constraints
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
• The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
• On closeness of two discrete weighted sums
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
• Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes
• A note on the asymptotics for the randomly stopped weighted sums
• Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation
• 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 estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
• 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
• Randomly weighted sums of pairwise quasi upper-tail independent increments with application to risk theory
• 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
• Max-sum equivalence of conditionally dependent random variables
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• A note on randomly weighted sums of dependent subexponential random variables
• Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• The tail behavior of randomly weighted sums of dependent random variables
• 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
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
• Approximations of the tail probability of the product of dependent extremal random variables and applications

This page was built for publication: Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q624593)