The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance

DOI10.1080/07362994.2011.610163zbMath1232.62136OpenAlexW2101930638MaRDI QIDQ3114569

Kai Wang Ng, Yiqing Chen, Kam-Chuen Yuen

Publication date: 19 February 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/143789

zbMATH Keywords

asymptoticstail probabilityuniformityassociation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical distribution theory (62E99)

Related Items

Unnamed Item, Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima, Closure property of consistently varying random variables based on precise large deviation principles, On the random max-closure for heavy-tailed random variables, Randomly weighted sums of dependent subexponential random variables with applications to risk theory, On the joint tail behavior of randomly weighted sums of heavy-tailed random variables, A quasi-Bayesian change point detection with exchangeable weights, On random coefficient INAR(1) processes, Conditional tail expectation of randomly weighted sums with heavy-tailed distributions, On extremal behavior of aggregation of largest claims, Uniform asymptotics for the tail probability of weighted sums with heavy tails, Closure property and maximum of randomly weighted sums with heavy-tailed increments, Randomly weighted sums of subexponential random variables with application to capital allocation, Randomly stopped maximum and maximum of sums with consistently varying distributions, The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks

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