On the maximum of randomly weighted sums with regularly varying tails

DOI10.1016/J.SPL.2005.10.033zbMath1090.62046OpenAlexW1980040616MaRDI QIDQ2493861

Yiqing Chen, Xiangsheng Xie, Kai Wang Ng

Publication date: 16 June 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.10.033

zbMATH Keywords

asymptoticstail probabilityregular variationruin probability

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Related Items (8)

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 ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ 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 ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables ⋮ Approximation of the tail probability of randomly weighted sums and applications ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

Cites Work

• Unnamed Item
• Unnamed Item
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Moving averages with random coefficients and random coefficient autoregressive models
• Weighted sums of subexponential random variables and their maxima

This page was built for publication: On the maximum of randomly weighted sums with regularly varying tails