Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables

DOI10.1007/S11401-012-0723-2zbMATH Open1252.62054arXiv1101.4056OpenAlexW2039453920MaRDI QIDQ692452FDOQ692452

Kam Chuen Yuen, Chuancun Yin

Publication date: 6 December 2012

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Abstract: Let $X_1,X_2,\mathrm{...}$ be a sequence of dependent heavy-tailed random variables with distributions $F_1,F_2,\mathrm{...}$ on $(-infty,infty)$, and let $au$ be a nonnegative integer-valued random variable independent of the sequence $X_k,kge1$. In this framework, we study the asymptotic behavior of the tail probabilities of the quantities $X_{(n)}=ma{x}_{1leklen}{X}_k$, $S_n=su{m}_{k=1}^n{X}_k$ and $S_{(n)}=ma{x}_{1leklen}{S}_k$ for $n>1$, and for those of their randomized versions $X_{(au)}$, $S_{au}$ and $S_{(au)}$. We also consider applications of the results obtained to some commonly-used risk processes.

Full work available at URL: https://arxiv.org/abs/1101.4056

zbMATH Keywords

copulaspartial sumsheavy-tailed distributionsrisk processesasymptotic tail probability

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cited In (11)

• Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
• Tail behavior of sums and differences of log-normal random variables
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
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• A unifying approach to constrained and unconstrained optimal reinsurance

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