On Sums of Conditionally Independent Subexponential Random Variables

From MaRDI portal
Publication:3169084

DOI10.1287/moor.1090.0430zbMath1226.60066arXiv0806.0490OpenAlexW2150325405MaRDI QIDQ3169084

Andrew Richards, Sergeĭ Georgievich Foss

Publication date: 27 April 2011

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.0490




Related Items (27)

Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theoryRisk Measures and Multivariate Extensions of Breiman's TheoremThe probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distributionThe finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claimsTail asymptotics for dependent subexponential differencesFork-join and redundancy systems with heavy-tailed job sizesTail approximations of integrals of Gaussian random fieldsMarkov dependence in renewal equations and random sums with heavy tailsInterplay of insurance and financial risks in a stochastic environmentAsymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizesMax-sum equivalence of conditionally dependent random variablesTail asymptotics of random sum and maximum of log-normal risksExtremes of aggregated Dirichlet risksAsymptotic results for tail probabilities of sums of dependent and heavy-tailed random variablesEfficient simulations for the exponential integrals of Hölder continuous gaussian random fieldsOn the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fieldsTail behavior of sums and differences of log-normal random variablesOn the Tail Probabilities of Aggregated Lognormal Random Fields with Small NoiseSecond order risk aggregation with the Bernstein copulaSecond order asymptotics of aggregated log-elliptical riskTail behavior of the sums of dependent and heavy-tailed random variablesSubexponential tails of discounted aggregate claims in a time-dependent renewal risk modelExponential Family Techniques for the Lognormal Left TailTail Behavior of Weighted Sums of Order Statistics of Dependent RisksAsymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variablesOn the Density Functions of Integrals of Gaussian Random FieldsAggregation of log-linear risks







This page was built for publication: On Sums of Conditionally Independent Subexponential Random Variables