The tail probability of the product of dependent random variables from max-domains of attraction

DOI10.1016/J.SPL.2011.06.018MaRDI QIDQ645443zbMATH OpenOpenAlexFDO

Authors Yingying Yang, Shuhe Hu, Tao Wu

Publication date 15 November 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.06.018

zbMATH Keywords

tail probabilityproductmax-domain of attractionBreiman's theoremFarlie-Gumbel-Morgenstern

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

• Approximations of the tail probability of the product of dependent extremal random variables and applications
• The product of two dependent random variables with regularly varying or rapidly varying tails
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• The tail behavior of randomly weighted sums of dependent random variables
• Revisiting the product of random variables

Cites work

• scientific article; zbMATH DE number 3662269 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• scientific article; zbMATH DE number 3238248 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Asymptotic independence and a network traffic model
• Asymptotics of random contractions
• 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
• From light tails to heavy tails through multiplier
• On a Theorem of Breiman and a Class of Random Difference Equations
• On convolution equivalence with applications
• On the ruin probabilities in a general economic environment
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Subexponentiality of the product of independent random variables
• Sur la distribution limite du terme maximum d'une série aléatoire
• Tail asymptotics under beta random scaling
• The product of two dependent random variables with regularly varying or rapidly varying tails
• The subexponential product convolution of two Weibull-type distributions
• The subexponentiality of products revisited

Cited in

(11)

• Tail asymptotic of Weibull-type risks
• A note on the product of independent random variables with regularly varying tails
• Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
• Gini estimation under infinite variance
• Approximations of the tail probability of the product of dependent extremal random variables and applications
• Tails of Stopped Random Products: The Factoid and Some Relatives
• Tail behavior of the product of two dependent random variables with applications to risk theory
• The product of two dependent random variables with regularly varying or rapidly varying tails
• Extremes and products of multivariate AC-product risks
• Ruin probabilities with insurance and financial risks having an FGM dependence structure
• Ruin with insurance and financial risks following the least risky FGM dependence structure

This page was built for publication: The tail probability of the product of dependent random variables from max-domains of attraction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q645443)