Randomly weighted sums with dominated varying-tailed increments and application to risk theory

DOI10.1016/J.JKSS.2010.02.004zbMath1294.60067OpenAlexW1981384029MaRDI QIDQ2511569

Qingwu Gao, Yue-bao Wang

Publication date: 6 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.02.004

zbMATH Keywords

ruin probabilityrandomly weighted sumsweak asymptoticsupper tail independencedominant variation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10)

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Cites Work

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• Subexponentiality of the product of independent random variables
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• The structure and precise moderate deviations of random variables with dominatedly varying tails
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Some Concepts of Dependence
• Dependence measures for extreme value analyses

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