The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
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Publication:951218
DOI10.1016/J.SPL.2008.02.036zbMath1171.62011OpenAlexW1998843237MaRDI QIDQ951218
Publication date: 30 October 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.036
Related Items (4)
Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ Unnamed Item ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables
Cites Work
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- Convolution tails, product tails and domains of attraction
- Randomly weighted sums of subexponential random variables with application to ruin theory
- On the distribution of the maxima of partial sums
- The finite-time ruin probability of the compound Poisson model with constant interest force
- Maxima of Sums of Heavy-Tailed Random Variables
- ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
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