The product distribution of dependent random variables with applications to a discrete-time risk model

DOI10.1080/03610926.2018.1476705OpenAlexW2922135472MaRDI QIDQ5866071

Hui Xu, Fengyang Cheng, Jikun Chen

Publication date: 10 June 2022

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

Full work available at URL: https://arxiv.org/abs/1606.03651

zbMATH Keywords

dependent random variablessubexponential distributionlong-tailed distributionrisk modelfinite-time ruin probability

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

Related Items (2)

A note on randomly weighted sums of dependent subexponential random variables ⋮ Revisiting the product of random variables

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