Second-order properties of tail probabilities of sums and randomly weighted sums
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Publication:497486
DOI10.1007/s10687-015-0218-0zbMath1327.60073OpenAlexW989385248MaRDI QIDQ497486
Publication date: 24 September 2015
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-015-0218-0
hidden regular variationsecond-order asymptoticssecond-order regular variationrandomly weighted sums
Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)
Related Items (9)
Diversification limit of quantiles under dependence uncertainty ⋮ Complete moment convergence of double-indexed randomly weighted sums of mixing sequences ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ Asymptotic analysis of portfolio diversification ⋮ Second-order asymptotics for convolution of distributions with light tails ⋮ Risk concentration based on expectiles for extreme risks under FGM copula ⋮ A Kesten-type bound for sums of randomly weighted subexponential random variables ⋮ Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
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