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

DOI10.1016/J.SPL.2011.06.018zbMATH Open1227.60018OpenAlexW2027041014MaRDI QIDQ645443FDOQ645443

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

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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)

Cites Work

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• Asymptotic independence and a network traffic model
• The subexponential product convolution of two Weibull-type distributions
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On convolution equivalence with applications
• The subexponentiality of products revisited
• From light tails to heavy tails through multiplier
• The product of two dependent random variables with regularly varying or rapidly varying tails
• Asymptotics of random contractions

Cited In (11)

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

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