On the joint tail behavior of randomly weighted sums of heavy-tailed random variables

DOI10.1016/j.jmva.2017.10.008zbMath1499.62082OpenAlexW2767864229MaRDI QIDQ1686241

Jinzhu Li

Publication date: 21 December 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.10.008

zbMATH Keywords

asymptoticsregular variationdominated variationrandomly weighted sumjoint tail behaviorstrong asymptotic independence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Probability distributions: general theory (60E05)

Related Items (13)

Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS ⋮ 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 ⋮ Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES ⋮ Approximating sums of products of dependent random variables ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables ⋮ 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 ⋮ On the tail behaviour of aggregated random variables ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

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