The tail behavior of randomly weighted sums of dependent random variables

DOI10.4310/SII.2014.V7.N3.A3zbMATH Open1326.60073MaRDI QIDQ896413FDOQ896413

Authors: Xuan Leng, Taizhong Hu 

Publication date: 9 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

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zbMATH Keywords

asymptoticsspectral measuremaximum domain of attractionmultivariate regular variationmultivariate extreme value distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Parametric inference (62F99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (11)

• Tail behavior of sums and maxima of sums of dependent subexponential random variables
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• Second-order properties of tail probabilities of sums and randomly weighted sums
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• The tail probability of the product of dependent random variables from max-domains of attraction
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Complete moment convergence of double-indexed randomly weighted sums of mixing sequences
• Weighted sums for i. i. d. random variables with relatively thin tails
• Tail behavior of weighted sums of order statistics of dependent risks

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