The tail behavior of randomly weighted sums of dependent random variables

DOI10.4310/SII.2014.V7.N3.A3MaRDI QIDQ896413zbMATH OpenFDO

Authors Xuan Leng, Taizhong Hu

Publication date 9 December 2015

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

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)

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Cited in

(11)

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

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