Randomly weighted sums of dependent random variables with dominated variation

DOI10.1016/J.JMAA.2014.06.048MaRDI QIDQ401104zbMATH OpenOpenAlexFDO

Authors Dongya Cheng

Publication date 26 August 2014

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2014.06.048

zbMATH Keywords

dominated variationrandomly weighted sumsasymptotically lower boundasymptotically upper boundpairwise asymptotic independence

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20)

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• Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation
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• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Tail behavior of randomly weighted sums
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• The subexponentiality of products revisited
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory

Cited in

(25)

• A Kesten-type bound for sums of randomly weighted subexponential random variables
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• A note on randomly weighted sums of dependent subexponential random variables
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Tail behavior of randomly weighted sums
• Generalized moments of sums with heavy-tailed random summands
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*
• Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails
• Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation
• Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
• The moment of maximum normed randomly weighted sums of martingale differences
• Tails of higher-order moments with dominatedly varying summands
• Uniform estimate for the tail probabilities of randomly weighted sums

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