Conditional tail expectation of randomly weighted sums with heavy-tailed distributions

Cites Work

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Properties and applications of the sarmanov family of bivariate distributions
A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model
Randomly weighted sums with dominated varying-tailed increments and application to risk theory
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
Randomly weighted sums of dependent random variables with dominated variation
Randomly weighted sums of subexponential random variables with application to capital allocation
Tail behavior of the product of two dependent random variables with applications to risk theory
Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study
Asymptotics for risk capital allocations based on conditional tail expectation
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
Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
Randomly weighted sums of subexponential random variables with application to ruin theory
Tail Behavior of Randomly Weighted Sums
Approximation of the tail probability of randomly weighted sums and applications
Asymptotics for Weighted Random Sums
Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance

Cited In (8)

Expectation of the truncated randomly weighted sums with dominatedly varying summands
On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
Tail conditional moments for elliptical and log-elliptical distributions
Asymptotics for value at risk and conditional tail expectation of a portfolio loss
Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation
Asymptotic risk decomposition for regularly varying distributions with tail dependence
Complete moment convergence of double-indexed randomly weighted sums of mixing sequences
Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach

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