Uniform approximation of the tail probability of weighted sums of subexponential random variables

DOI10.1080/03610926.2014.960585zbMath1362.62039OpenAlexW2512376024MaRDI QIDQ2832629

Chenhua Zhang, shaobai kan

Publication date: 11 November 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.960585

zbMATH Keywords

tail probabilityconvolutionsubexponential distributionweighted sumquasi-asymptotical independenceuniform asymptoticuniform \(h\)-insensitivity

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05)

Cites Work

• A note on a dependent risk model with constant interest rate
• Uniform asymptotics for the tail probability of weighted sums with heavy tails
• Asymptotics of sums of lognormal random variables with Gaussian copula
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Hidden regular variation, second order regular variation and asymptotic independence
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Discrete and continuous time modulated random walks with heavy-tailed increments
• On pairwise quasi-asymptotically independent random variables and their applications
• Convolutions of Long-Tailed and Subexponential Distributions
• Subexponential distributions and integrated tails

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