A Kesten-type bound for sums of randomly weighted subexponential random variables

DOI10.1016/J.SPL.2019.108661zbMath1440.62195OpenAlexW2982260639WikidataQ126975816 ScholiaQ126975816MaRDI QIDQ2288814

Yiqing Chen

Publication date: 20 January 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.108661

zbMATH Keywords

renewal processsubexponentialityrandomly weighted sumzero-coupon bondKesten-type bound

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical block designs (62K10)

Related Items (5)

Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims ⋮ A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

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