Tail behavior of random sums of negatively associated increments
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Publication:624555
DOI10.1016/J.JMAA.2010.10.001zbMath1207.60036OpenAlexW1968226112MaRDI QIDQ624555
Fengyang Cheng, Jian Zhang, Yue-bao Wang
Publication date: 9 February 2011
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.10.001
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)
Related Items (6)
On the random max-closure for heavy-tailed random variables ⋮ Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model ⋮ Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands ⋮ Tail probability of a random sum with a heavy-tailed random number and dependent summands ⋮ Randomly stopped maximum and maximum of sums with consistently varying distributions ⋮ Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
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