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

DOI10.1007/S11401-012-0723-2MaRDI QIDQ692452zbMATH OpenOpenAlexFDO

Authors Kam Chuen Yuen, Chuancun Yin

Publication date 6 December 2012

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

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)

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.

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Cited in

(18)

• Asymptotics for tail probability of random sums with a heavy-tailed number and dependent increments
• 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
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• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
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• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
• A unifying approach to constrained and unconstrained optimal reinsurance
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