Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

DOI10.1016/J.JMAA.2019.123389zbMath1479.60088OpenAlexW2965102167WikidataQ127395605 ScholiaQ127395605MaRDI QIDQ2325923

Bingzhen Geng, Rong-Lin Ji, Shi-jie Wang

Publication date: 4 October 2019

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.2019.123389

zbMATH Keywords

tail probabilitysubexponential distributiondependence structureconsistently varying tailrandomly weighted sum

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Related Items (7)

Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed 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 ⋮ Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims ⋮ Approximating sums of products of dependent random variables ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

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