Some novel results on pairwise quasi-asymptotical independence with applications to risk theory
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Publication:4588896
DOI10.1080/03610926.2016.1202287zbMath1377.62064OpenAlexW2516900066MaRDI QIDQ4588896
Cen Chen, Shi-jie Wang, Xue-jun Wang
Publication date: 3 November 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2016.1202287
asymptoticsruin probabilityconsistent variationdiscrete-time risk modelquasi-asymptotical independence
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Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Generalized moments of sums with heavy-tailed random summands ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
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