The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables (Q951218)

From MaRDI portal





scientific article; zbMATH DE number 5358993
Language Label Description Also known as
English
The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
scientific article; zbMATH DE number 5358993

    Statements

    The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables (English)
    0 references
    0 references
    0 references
    30 October 2008
    0 references
    Let \(\{X_k,\;1\leq k\leq n\}\) be \(n\) independent and real-valued random variables with common subexponential distribution function \(F\). Following the work of \textit{Q. Tang} and \textit{G. Tsitsiashvili} [Randomly weighted sums of subexponential random variables with application to ruin theory. Extremes 6, No.~3, 171--188 (2003; Zbl 1049.62017)], we revisit the weighted sum \(S_n=\sum^n_{k=1}c_kX_k\) and we find an interval \([u(x),v(x)]\) with \(u(x)\downarrow 0\) and \(v(x)\uparrow \infty\) as \(x\to\infty\) such that the asymptotic relation \(P(S_n>x)\sim\sum^n_{k=1}P(c_kX_k>x)\) holds uniformly for all weights \(c_k\), \(1\leq k\leq n\), taking values from this interval.
    0 references

    Identifiers