Subexponentiality of the product of dependent random variables

DOI10.1016/j.spl.2013.05.017zbMath1279.62037OpenAlexW2062287137MaRDI QIDQ2637372

Suting Sun, Hai-Zhong Yang

Publication date: 11 February 2014

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

Full work available at URL: https://doi.org/10.1016/j.spl.2013.05.017

zbMATH Keywords

tail probabilityregular variationproduct

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory of statistical distributions (62E10)

Related Items (8)

Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Revisiting the product of random variables ⋮ Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model

Cites Work

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• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• From light tails to heavy tails through multiplier
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Extremes on the discounted aggregate claims in a time dependent risk model
• An Introduction to Heavy-Tailed and Subexponential Distributions
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
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