Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation

DOI10.1080/03610926.2017.1386309OpenAlexW2763824596MaRDI QIDQ5031693

Lianqiang Yang, Yiyu Hu, Shi-jie Wang, Wen Sheng Wang

Publication date: 16 February 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1386309

zbMATH Keywords

asymptoticheavy-tailed distributionconditional tail expectationrandomly weighted sum

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Actuarial mathematics (91G05)

Related Items (4)

Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ 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 ⋮ Tails of higher-order moments with dominatedly varying summands

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