Uniform approximation of the tail probability of weighted sums of subexponential random variables
DOI10.1080/03610926.2014.960585zbMath1362.62039OpenAlexW2512376024MaRDI QIDQ2832629
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
tail probabilityconvolutionsubexponential distributionweighted sumquasi-asymptotical independenceuniform asymptoticuniform \(h\)-insensitivity
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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