Approximation of the tail probability of randomly weighted sums and applications
From MaRDI portal
Publication:1004411
DOI10.1016/j.spa.2008.03.004zbMath1271.62030OpenAlexW2169518223MaRDI QIDQ1004411
Yi Zhang, Chengguo Weng, Xin Mei Shen
Publication date: 10 March 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2008.03.004
Related Items
Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory, Tail Behavior of Randomly Weighted Sums, Risk Measures and Multivariate Extensions of Breiman's Theorem, Asymptotics for the partial sum and its maximum of dependent random variables, APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS, Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory, On closeness of two discrete weighted sums, The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks, Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima, Tail asymptotic of discounted aggregate claims with compound dependence under risky investment, Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations, Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications, Interplay of financial and insurance risks in dependent discrete-time risk models, Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks, Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks, Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail, A note on randomly weighted sums of dependent subexponential random variables, Randomly weighted sums of dependent subexponential random variables, Randomly weighted sums of dependent subexponential random variables with applications to risk theory, On the joint tail behavior of randomly weighted sums of heavy-tailed random variables, ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK, Randomly weighted sums of dependent random variables with dominated variation, Externalities in the M/G/1 queue: LCFS-PR versus FCFS, Conditional tail expectation of randomly weighted sums with heavy-tailed distributions, A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*, Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation, Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance, Uniform approximation for the tail behavior of bidimensional randomly weighted sums, On the ruin probability in a dependent discrete time risk model with insurance and financial risks, Tail behavior of discounted portfolio loss under upper tail comonotonicity, Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims, Approximation of the tail probability of dependent random sums under consistent variation and applications, Asymptotic tail probability of randomly weighted sums of dependent random variables with dominated variation, Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims, Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims, Tail behavior of the product of two dependent random variables with applications to risk theory, Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims, Closure properties of the second-order regular variation under convolutions, Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails, Uniform asymptotics for the tail probability of weighted sums with heavy tails, Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model, Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time, Uniform estimate for the tail probabilities of randomly weighted sums, Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force, Randomly weighted sums of subexponential random variables with application to capital allocation, Second-order properties of tail probabilities of sums and randomly weighted sums, Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments, ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES, Asymptotics for Weighted Random Sums, Risk- and value-based management for non-life insurers under solvency constraints, Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks, Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims, A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables, Approximation for the ruin probabilities in a discrete time risk model with dependent risks, The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks, Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks, Randomly weighted sums with dominated varying-tailed increments and application to risk theory, Tail behavior of the sums of dependent and heavy-tailed random variables, A Kesten-type bound for sums of randomly weighted subexponential random variables, The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks, The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks, Asymptotics for randomly weighted and stopped dependent sums, A necessary and sufficient condition for the subexponentiality of the product convolution, Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims, A note on the asymptotics for the randomly stopped weighted sums, The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks, Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples, Bivariate regular variation among randomly weighted sums in general insurance, Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory, Exact upper tail probabilities of random series, 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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An introduction to copulas.
- Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
- Some concepts of negative dependence
- Aspects of risk theory
- Subexponentiality of the product of independent random variables
- Limit theory for bilinear processes with heavy-tailed noise
- The discrete-time risk model with correlated classes of business
- On the ruin probabilities in a general economic environment
- Negative association of random variables, with applications
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Finite time ruin probability with heavy-tailed insurance and financial risks
- On the maximum of randomly weighted sums with regularly varying tails
- Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Moving averages with random coefficients and random coefficient autoregressive models
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
- The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
- Operational Risk
