Asymptotics for randomly weighted and stopped dependent sums
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Publication:2804547
DOI10.1080/17442508.2015.1052812zbMath1338.62065OpenAlexW2291001865MaRDI QIDQ2804547
Remigijus Leipus, Yang Yang, Jonas Šiaulys
Publication date: 4 May 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2015.1052812
dominated variationasymptotic tail probabilityrandom-time ruin probabilitybivariate upper tail independenceextended negative upper orthant dependencerandomly weighted and stopped sums
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (12)
Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ On closeness of two discrete weighted sums ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Uniform approximation for the tail behavior of bidimensional randomly weighted sums ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables ⋮ A note on the tail behavior of randomly weighted and stopped dependent sums ⋮ A note on the asymptotics for the randomly stopped weighted sums ⋮ Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
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