Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
From MaRDI portal
(Redirected from Publication:894569)
Recommendations
- Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation
- On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Tails of higher-order moments with dominatedly varying summands
- Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 6288723 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- scientific article; zbMATH DE number 3322636 (Why is no real title available?)
- A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model
- Approximation of the tail probability of randomly weighted sums and applications
- Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
- Asymptotics for Weighted Random Sums
- Asymptotics for risk capital allocations based on conditional tail expectation
- Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study
- On generalized Sarmanov bivariate distributions
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Properties and applications of the sarmanov family of bivariate distributions
- Randomly weighted sums of dependent random variables with dominated variation
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Randomly weighted sums of subexponential random variables with application to ruin theory
- Randomly weighted sums with dominated varying-tailed increments and application to risk theory
- Subexponentiality of the product of independent random variables
- Tail behavior of randomly weighted sums
- Tail behavior of the product of two dependent random variables with applications to risk theory
- 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)- Tail conditional moments for elliptical and log-elliptical distributions
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Complete moment convergence of double-indexed randomly weighted sums of mixing sequences
- Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation
- On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
This page was built for publication: Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q894569)
