Weighted sums of subexponential random variables and their maxima

DOI10.1239/aap/1118858636zbMath1083.60017OpenAlexW1998897419MaRDI QIDQ5694155

Kai Wang Ng, Yiqing Chen, Qi-he Tang

Publication date: 29 September 2005

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1118858636

zbMATH Keywords

tail probabilityruin probabilitysubexponentialityMatuszewska indexdiscounted loss

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10)

Related Items (18)

The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process ⋮ Tail Behavior of Randomly Weighted Sums ⋮ A note on product-convolution for generalized subexponential distributions ⋮ Randomly weighted sums of dependent subexponential random variables ⋮ On random coefficient INAR(1) processes ⋮ Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums ⋮ Tail bounds for sums of independent two-sided exponential random variables ⋮ The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails ⋮ Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims ⋮ Uniform estimate for the tail probabilities of randomly weighted sums ⋮ A uniform asymptotic estimate for discounted aggregate claims with subexponential tails ⋮ On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails ⋮ Ruin probability in a one-sided linear model with constant interest rate ⋮ Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions ⋮ On the maximum of randomly weighted sums with regularly varying tails ⋮ Approximations of the cumulative distribution function for infinite weighted sum of random variables ⋮ Approximation for the ruin probabilities in a discrete time risk model with dependent risks ⋮ Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities

Cites Work

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• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Maxima of Sums of Heavy-Tailed Random Variables
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